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AMD CTO인 Joe Macri가 이런 말을 했다고 합니다.
“There’s not a whole lot of revolution left in CPUs. There’s a lot of evolution left.”
속도 경쟁도 비슷합니다. 지난 몇 년과 같은 혁명적인 변화를 더이상 기대하기 힘듭니다. 영화 ‘인터스텔라’처럼 차원을 뛰어넘을 수 없으므로 물리학의 한계에 머무를 수 밖에 없습니다. 이제 마지막 남았던 무선까지 상품화하여 서비스하는 단계에 이르렀습니다. 상품화란 소수만이 배타적으로 사용하는 서비스가 아니라는 뜻입니다. 자본이 있으면 사용하는 서비스가 되었습니다. 물론 한국은 아닙니다만. Tabb Forum에 올랐던 글입니다.
The Rise of Next-Gen Wireless Technology in Financial Services
위의 글은 아래의 보고서를 기반으로 쓰여진 글로 보입니다.
Financial Markets Tune In To Wireless: Applications, Solutions, Technologies, Challenges
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속도와 무척 깊은 관계가 있는 고빈도매매. 속도와 고빈도매매의 관계를 파헤친 논문들입니다. 블로그에 기록을 남기기 위함입니다.
High Frequency Traders: Taking Advantage of Speed
We propose a model of dynamic trading where a strategic high frequency trader receives an imperfect signal about the future order flow, and exploits his speed advantage to act as a market maker. We determine the provision of liquidity, order cancellations, and impact on low frequency traders. The model predicts that volatility leads high frequency traders to reduce their provision of liquidity. Next, we analyze the problem when the high frequency trader competes with another market maker. Finally, we provide the first formal, model-based analysis of the impact of various policies designed to regulate high frequency trading.
Speed matters: we show that an investor’s optimal trading strategy is significantly different when he observes news faster than others versus when he does not, holding the precision of his signals constant. When the investor has fast access to news, his trades are much more sensitive to news, account for a much bigger fraction of trading volume, and forecast short run price changes. Moreover, in this case, an increase in news informativeness increases liquidity, volume, and the fast investor’s share of trading volume. Last, price changes are more correlated with news and trades contribute more to volatility when the investor has fast access to news.
Trading Fast and Slow: Colocation and Market Quality
Using data showing the activities of trading accounts with different types of colocation subscriptions at NASDAQ OMX Stockholm, we investigate the effects of trader speed. We find that colocated traders have an informational advantage relative to non-colocated participants. To assess how fast trading affects market quality, we perform an event study around an optional colocation upgrade. Participants that upgrade reduce their adverse selection costs and improve their inventory management ability, allowing them to increase their market share in liquidity provision. Both bid-ask spreads and market depth improve after the speed increase. Our results suggest that the liquidity improvements are related to the fastest traders’ increased market share and their enhanced inventory management abilities.
