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I also, am interested in this. Ron D
----- Original Message -----
From: "Steve Dugas" <sjdugas@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, July 08, 2008 4:13 PM
Subject: Re: [amibroker] Re: NEW USER - simple question.......
> Hi, thanks for the reply - interesting stuff. Re #2, I don't know so
> thought
> I might learn something. I was reading about them one day and it sounded
> like they have been going online one at a time over the last few years,
> which would give me the impression that the big houses like them and are
> using them so others are jumping on the bandwagon. OTOH, I haven't really
> noticed any decrease in volume so from what you say perhaps they are not
> as
> far along as I thought and they really haven't made that much of an impact
> yet.
>
> Well, I feel a bit silly asking this, and I gather you didn't actually
> work
> in the pits, but if you happen to know exactly *how* they profit from
> shaking out the weak hands, would you be kind enough to explain it to me?
> For example, why would they drive the price up through some resistance
> level? Is it just that they are ready to sell that stock, want a better
> price, and so they are trying to get the "momentum ball" rolling, shorts
> to
> cover, etc? Do "tricks" like that ever backfire on them? Thanks again!
>
> Steve
>
> ----- Original Message -----
> From: "sidhartha70" <sidhartha70@xxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, July 08, 2008 2:18 PM
> Subject: [amibroker] Re: NEW USER - simple question.......
>
>
>> Steve,
>>
>> For sure I think their is quite a bit of manipulation going on... but i
>> think you have to
>> separate what I call 'structural manipulation' from just day trading
>> manipulation. The
>> difference... for sure markets have a tendency to overshoot support and
>> resistance levels...
>> markets are non-stationary so always changing. And for sure some big guys
>> in the pit at
>> the CME, seeing a thin market will def. try and take the market under
>> support or over
>> resistance to see who they can shake out (little guys like you and I -
>> and
>> banks who don't
>> want to hold too much risk)... Be aware, not all banks are huge risk
>> takers. There are plenty
>> of traders at Merrill who's mandate is to run a tight ship risk wise...
>> and they can also be
>> spooked out of legacy positions they may have taken while filling a
>> client
>> order.
>>
>> 'Structural manipulation' I have seen first hand many times... we used to
>> sell certificated
>> products at a firm I worked at. They were like mini funds... you sell a
>> 'high tech' certificate
>> to clients, milk them for about 5% in fees, sell $500m of the
>> certificate,
>> and it would be
>> priced off closing prices on a given date (e.g. July 8th)... no-one
>> outside of the firm would
>> know... but we'd have $500m worth of stock, across say 30 names, to buy
>> at
>> the close...
>> we were the market effectively at that point... and anyone who stood in
>> the way got
>> creamed. The certificates would be reconstituted (like an index)
>> quarterly, when we'd have
>> a massive rebalancing trade to do... again we'd be the market at the
>> close. Of course we'd
>> make even more money by the fact the certificate price that we sold to
>> clients was 'calced'
>> off the closing price's of the relevant stocks... but we'd have been
>> buying stock from a full
>> % or two lower (hence our fill was better than the clients got) and to
>> top
>> it off we might
>> only actually buy $450m of stock, effectively shorting the last $50m to
>> clients at the
>> massively 'elevated' closing prices. It's not genius but it sure is an
>> easy way of making
>> money!!! That kind of 'structural manipulation' goes on all the time -
>> and
>> it's often backed
>> by some invisible product that none of us have ever heard of.
>>
>> Question 2... good question. Not sure I know the answer Steve. This is
>> still very much in
>> development as we speak. I'd just be guessing. I think we'll have to sit
>> tight and find out.
>> Love to hear your views if you have any...?
>>
>>
>>
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxx> wrote:
>>>
>>> Hi - It is very nice to hear from someone who actually worked on the
>>> inside
>>> and knows firsthand how the "big boys" operate. I wonder if you would
>>> mind
>>> giving your opinion on a couple of other questions which seem to surface
>>> quite a bit on trading boards, etc.
>>>
>>> 1. To what extent would you say the markets are manipulated? I am always
>>> reading how the big boys will manipulate the markets to "steer the
>>> herd",
>>> etc, For example, spend a few million $$ ( pocket change for them I
>>> guess )
>>> on futures to move the markets where they want them to go, buy or sell
>>> at
>>> the price they want, then withdraw and let things collapse, etc. Or
>>> spin
>>> the news to drive the markets where they want them. Or they just plain
>>> lie...Or they work together to manipulate prices..etc, etc...I have
>>> heard
>>> many of these kinds of stories. Cramer seems to agree. But on the other
>>> hand, I can't help but wonder if we ( the little guys ) have enough
>>> money
>>> to
>>> be worth manipulating... What do you think?
>>>
>>> 2. I guess there are quite a few private platforms now where the big
>>> boys
>>> can trade directly with each other rather than on the open market. Do
>>> you
>>> see this having much of an effect on the markets.
>>>
>>> Thanks very much for your insights!
>>>
>>> Steve
>>>
>>> ----- Original Message -----
>>> From: "sidhartha70" <sidhartha70@xxx>
>>> To: <amibroker@xxxxxxxxxxxxxxx>
>>> Sent: Tuesday, July 08, 2008 9:23 AM
>>> Subject: [amibroker] Re: NEW USER - simple question.......
>>>
>>>
>>> > Just to give another viewpoint on this, and perhaps a slightly sunnier
>>> > assessment... I also
>>> > believe traders can often believe the opposite. i.e. that markets are
>>> > completely efficient
>>> > and therefore it's impossible to make money. My own experience has
>>> > shown
>>> > again and
>>> > again that markets have pockets of inefficientcy and that continues,
>>> > albeit the form is
>>> > constantly in evolution.
>>> >
>>> > Take a simple, liquid stock like VOD.L. There are literally endless
>>> > strategies that could be
>>> > designed (billions)... it's my guess that no more than a few thousand
>>> > are
>>> > actually
>>> > employed or 'scanned' at any one time. Actually I think a few thousand
>>> > is
>>> > very generous. I
>>> > believe it could be considerably less than that. I used to work at the
>>> > proprietary trading
>>> > desks of Merrill Lynch, Barclays Capital and Nomura (all in London)
>>> > over
>>> > the last 12 years.
>>> > I can assure any reader that notions of a supercomputer churning away
>>> > testing millions of
>>> > strategies is way off the mark. They trade a handful of tried and
>>> > tested
>>> > strategies that are
>>> > constantly tweaked and improved... or even more than that, they trade
>>> > off
>>> > proprietary
>>> > information about money flow that is not available to the open market.
>>> >
>>> > The point is, there is so much institutional money flowing through the
>>> > market... fund
>>> > managers, market makers filling client orders, options traders
>>> > hedging,
>>> > index arbitragers,
>>> > portfolio traders trying to match VWAP... the list goes on an on...
>>> > and
>>> > in
>>> > my experience,
>>> > none of these guys give a stuff about technicals or the short to
>>> > medium
>>> > term movement of
>>> > the stock. That's not their game. They are either hedging so want
>>> > immediate cover or they
>>> > are much longer term, or they are measured on a different benchmark to
>>> > individual
>>> > proprietary traders like you and I. We are a fraction of an enormous
>>> > marketplace, the vast
>>> > bulk of which isn't trying to do what we are.
>>> >
>>> > OF course that doesn't mean making money is easy... it's not... but I
>>> > believe the reason is
>>> > more fundamental to free markets rather than the idea that millions of
>>> > traders or a
>>> > supercomputer, is scanning millions & millions of strategies as we
>>> > speak.
>>> > I believe free
>>> > markets have (for more than half the time, probably more like 80-90%
>>> > of
>>> > the time) very
>>> > low signal to noise ratio's... and they therefore do approach random
>>> > behaviour most of the
>>> > time. This can give the impression that markets are efficient... but
>>> > they
>>> > are not.
>>> >
>>> > Anyway, it is possible to consistently make money... it always will
>>> > be,
>>> > by
>>> > definition there
>>> > will always be opportunities in the market place. Don't be put off by
>>> > talk
>>> > of super
>>> > computers scanning every possible market efficientcy. I'm still
>>> > constantly
>>> > surprised at how
>>> > inefficient markets are.... Look at the recent countertrend rally we
>>> > had
>>> > to 1440 in the S&P
>>> > in the middle of a bear market. ;-)
>>> >
>>> >
>>> > ------------------------------------
>>> >
>>> > Please note that this group is for discussion between users only.
>>> >
>>> > To get support from AmiBroker please send an e-mail directly to
>>> > SUPPORT {at} amibroker.com
>>> >
>>> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>>> > http://www.amibroker.com/devlog/
>>> >
>>> > For other support material please check also:
>>> > http://www.amibroker.com/support.html
>>> > Yahoo! Groups Links
>>> >
>>> >
>>> >
>>> >
>>>
>>
>>
>>
>>
>> ------------------------------------
>>
>> Please note that this group is for discussion between users only.
>>
>> To get support from AmiBroker please send an e-mail directly to
>> SUPPORT {at} amibroker.com
>>
>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> http://www.amibroker.com/devlog/
>>
>> For other support material please check also:
>> http://www.amibroker.com/support.html
>> Yahoo! Groups Links
>>
>>
>>
>>
>
>
>
> ------------------------------------
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
> Yahoo! Groups Links
>
>
>
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