birdwatcher: (belgium fries)
[personal profile] birdwatcher
Оказывается, уже два года как написана книга "Flash Boys: Not So Fast", где подробно разбирается весь токсичный бред, который написал Льюис. Примерно как "Капитал и проценты" Бем-Баверка против "Капитала" Маркса, ну и сравнительная известность тоже соответствует.



Там всё хорошо, но выпишу этот кусок:
The illogic of predictability. Lastly, one has to ask the most obvious question of all: if you know exactly what these front-runners are doing, why can't you beat them? Or at least avoid them? If you want to buy 100,000 shares of XYZ, why not play the opposite game of the high-frequency traders: quietly place resting bids to purchase the shares on these ten exchanges first, and then wait for somebody to sell 100 shares of XYZ on BATS, causing your 100,000 resting shares to be the ones that "vanish into the paws of high-frequency traders?" As a bonus, you even collect a rebate from the exchange on the 100,000 shares.
    Reading the book alternate between the victimization of Katsuyama's traders and their explanation of exactly how they are being victimized, I feel like I'm hearing somebody complain that they always lose playing rock-paper-scissors: they always choose rock and the other guy always chooses paper. Why not choose scissors?
    More broadly, if these front-runners are running the scam all the time, not only should Katsuyama be able to avoid it, other predators would likely front-run the front-runners, putting them out of business. Lewis tells us that Brad describes the front-running plague to everyone on Wall Street, including a number of sharp hedge fund managers. Did all of these hedge funds decide to play nice with the high-frequency front-runners? Have all the other high-frequency traders, whom he claims make money picking off predictable models, decided not to pick off these guys who predictably front-run? It just doesn't seem plausible.