[darthtrader2.0]

Originally Posted by Northern boy »

are you Nate from stocktalk? lol. I'm quite sure this is an issue that isn't new, I'm bringing it up because new as well as experienced traders don't take time to consider this, and it plays a huge factor. I didn't know it had a name.

Hahaha, gone to town with your Yen/S&P correlation ideas, ehh canadian?
It actually is rather new, I haven't jumped into Gatheral's The Volatility Surface because I'm still gaining the mathematics to understand it. However, I do believe you are correct, there is this 3rd dimsenion of volatility we don't talk about that is "gamma-ish", but whatever you want to call it its more 3d and overall across strike prices than the gamma of a single strike.

[darthtrader2.0]

Originally Posted by BlowFish »

Darth, Harris talks about informed and un-informed. They are quite big categories, of course all this 'smart money' BS dosen't help as people hear informed and think 'smart money. You also have to fit in utilitarian traders (whose objective is not necessarily profit) into the puzzle. Of course he talks about the circumstances that price itself is informative. It's a fascinating subject.

ack, you clearly understand something in Harris that I do not. You really should make a microstructure thread and spill the beans...I want to be fascinated by this subect and then maybe I can possibly pay you back for such a thread with my own "take" but I'm totally brought to a stand still by the language. The idea of a utilitarian trader simply does not compute on any level to me.
How about informed trader == front runner? How off is that? I know I have a weakness with digesting theory if I can't see how it fits into a pragmatic strategy, even if the theory makes total sense.

[BlowFish]

When you have had a crack at O'Hara perhaps we can compare notes. I might get that too one of these days.

[darthtrader2.0]

Originally Posted by BlowFish »

When you have had a crack at O'Hara perhaps we can compare notes. I might get that too one of these days.

Yea I dont know, I got it this week but have barely opened it.
Ive really broke through some barriers knowledge wise in the past few weeks and honestly, I think once you get past the pure microstructure trade mechanics most of this stuff is a bunch of nonsense.
I would love to compare notes, here are my mental notes as far as high frequency trading and microstructure:

First, I think this whole business suffers from this concept of "phd-ism" that I have. Somewhat of a game theory concept where it matters far less that what you know has utility than if you can make the opponents in the game believe what you know has utility. Objectively, you are far better off in the game of life if you can make everyone believe you know something that is bogus than if you actually knew something that is true but no one believed you, phd-ism.
Thats somewhat how I view all these microstructure ideas when you really cut to the bone.We are talking about a game theory model with X participants, x == the number of individual traders making trades over Y time...the variables at the high freq level are not just unknown, they are "unknowable" for the sum of x so the market can not be truely "gamed".
My interest with this stuff though is that given enough data, time and knowledge, can you "game" the market better than 50% of the time.
To me that is an obvious yes, or no one would be able to make a living as a trader.