Search found 741 matches

by gw
Wed Aug 26, 2015 1:08 am
Forum: Investing - Help with Personal Investments
Topic: my retired mother's predicament
Replies: 55
Views: 8585

Re: my retired mother's predicament

It's misleading to think of this money in terms of "asset allocation." These aren't retirement assets. They don't provide any meaningful income. The long-term income available from $35K is something like $100/month, which is probably not very significant compared to what she gets from social securit...
by gw
Mon Aug 10, 2015 3:04 pm
Forum: Investing - Theory, News & General
Topic: Does the Three Fund Portfolio need a roboadviser?
Replies: 92
Views: 10560

Re: Does the Three Fund Portfolio need a roboadviser?

Vanguard should offer a roboadvisor.
by gw
Mon Jul 13, 2015 9:13 am
Forum: Investing - Theory, News & General
Topic: Why do we care about price movements? Aren't earnings all that matter?
Replies: 44
Views: 4664

Re: Why do we care about price movements? Aren't earnings all that matter?

If you commit to buy and never sell your equity investments, and just live off earnings, you will be guaranteed a positive return as long as earnings remain positive. That seems pretty low risk to me. It's an interesting angle. Let's call it "Eat Your Earnings." Backtesting against Shiller's histor...
by gw
Fri Oct 31, 2014 12:35 pm
Forum: Investing - Help with Personal Investments
Topic: fleeced by an adviser, is there a recourse?
Replies: 104
Views: 12636

Re: fleeced by an adviser, is there a recourse?

This is a sad state of affairs. I disagree with those who say this is capitalism and do your due diligence; imagine if you had to check the chemical composition of every can of food you buy, or try to figure out the effects and efficacy of every medicine. This isn't the 19th century, nor is it Chin...
by gw
Thu Oct 30, 2014 4:57 pm
Forum: Personal Consumer Issues
Topic: A Little Common Core Math problem
Replies: 97
Views: 6062

Re: A Little Common Core Math problem

This problem doesn't seem confusing, and I'm not sure why everyone is upset about the concept of Everyday Math (which has been taught LONG before Common Core). x + 8x = 63 9x = 63 x = 7 The cat weighs 7 lbs and the dog weighs 56 lbs. This does not require a calculator nor a pen and paper. Why are s...
by gw
Mon Oct 20, 2014 10:21 am
Forum: Investing - Theory, News & General
Topic: 30 yr TIPs auction announced 16 oct: yield=1.10%?
Replies: 93
Views: 9954

Re: 30 yr TIPs auction announced 16 oct: yield=1.10%?

Thanks market timer. I've just spent the last 10 to 20 minutes trying to find a calculator to do that math and decided I needed Excel but my Excel skills weren't up to the task. The number is quite a bit closer to the "standard" 4% risky portfolio than I would have imagined. But what happens if I l...
by gw
Tue Jul 22, 2014 2:55 pm
Forum: Investing - Theory, News & General
Topic: Delay Social Security to age 70 and Spend more money at 62
Replies: 203
Views: 43440

Re: Delay Social Security to age 70 and Spend more money at

You can choose to frame the problem any way you like. I chose to lay out a simpler example. I have seen other examples using annuities, but they are complex enough that a lot of people's eyes glaze over. I attempted to describe a new simpler way to look at the problem. One should strive to make thi...
by gw
Tue Jul 22, 2014 1:15 pm
Forum: Investing - Theory, News & General
Topic: Delay Social Security to age 70 and Spend more money at 62
Replies: 203
Views: 43440

Re: Delay Social Security to age 70 and Spend more money at

Now you're doing it right. :happy Well Now you understand it! --- It's what I said in the Original Post! Here's what I think is the right way to frame the issue, using your numbers and Ketawa's: Scenario 1: Take SS at 62 SS income is $19.5K, vs. $34.1K if you wait until age 70. So you have a $14.6K...
by gw
Mon Jul 21, 2014 11:43 pm
Forum: Investing - Theory, News & General
Topic: Delay Social Security to age 70 and Spend more money at 62
Replies: 203
Views: 43440

Re: Delay Social Security to age 70 and Spend more money at

This thread doesn't make sense. As Ketawa mentioned, you can't compare Social Security, which is an annuity, to a 4% (or any X%) "SWR," which is something else. You'll just get silly results. Apples and oranges and all that. The issue is that 4% is too conservative unless you're worried about leavin...
by gw
Tue Jul 15, 2014 1:08 pm
Forum: Investing - Help with Personal Investments
Topic: Thoughts on 100% stock allocation for 33 year old
Replies: 85
Views: 13685

Re: Thoughts on 100% stock allocation for 33 year old

IMO, this is the best argument for 100% stocks when you're young:

http://www.whynot.net/main/mortgage_retirement.pdf

This is perhaps the best argument against it:

http://www.bogleheads.org/forum/viewtopic.php?t=5934
by gw
Tue Apr 08, 2014 3:03 pm
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 175
Views: 37788

Re: Help me understand Michael Lewis' "Flash Boys"

The gripe about young Ph.D.'s being wasted on HFT is misplaced, because the technology and skillset propagates both to other parts of the industry and beyond finance, with net benefits to society. Your other points are more reasonable, but I can't agree with this, having seen it in action. They wor...
by gw
Tue Apr 08, 2014 2:38 pm
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 175
Views: 37788

Re: Help me understand Michael Lewis' "Flash Boys"

3). Why do they cancel all those trades?? No information...... Then why the fake trades? It shouldn't be so confusing --- this is really straightforward to understand. First of all, we're talking about quotes, not "trades." In other words, the question is why it should be the case that the vast maj...
by gw
Tue Apr 08, 2014 1:25 pm
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 175
Views: 37788

Re: Help me understand Michael Lewis' "Flash Boys"

My gripe isn't about talent or money wasted on finance instead of other stuff. My gripe is why isn't this problem being solved the right way, instead of one that fits with Wall Street ideology? :? I didn't mean to attribute the gripe to you. What do you think is the "right way"? Churchill would pro...
by gw
Tue Apr 08, 2014 12:06 pm
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 175
Views: 37788

Re: Help me understand Michael Lewis' "Flash Boys"

Bid-ask spread isn't a measure of trading cost. It's a measure of cost for trading on the time scale of HFT players. Any slower and the market moves because HFT players react. If your system takes a day to make a trade on an ETF from the time you see the quote, would the bid-ask spread in that ETF ...
by gw
Tue Apr 08, 2014 11:57 am
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 175
Views: 37788

Re: Help me understand Michael Lewis' "Flash Boys"

Have you ever heard (or read) Warren Buffett talking about what a disastrous purchase Berkshire Hathaway was? It was a terrible business (clothing manufacturer) --- every year, the managers came to him and said they had to buy the newest loom, which was going to cut manufacturing costs and increase...
by gw
Tue Apr 08, 2014 8:51 am
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 175
Views: 37788

Re: Help me understand Michael Lewis' "Flash Boys"

http://www.cnbc.com/id/49333454 Cancelled orders are routine, and done purposefully. A significant amount of hft orders are made then cancelled. This provides them with information. The above is just one algo, just one example. http://www.zerohedge.com If you want to read, and SEE what happens, the...
by gw
Tue Apr 08, 2014 1:45 am
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 175
Views: 37788

Re: Help me understand Michael Lewis' "Flash Boys"

If HFT people captured all this for free, then fine. But they don't. That fiber optic cable, that microwave tower, that high speed data feed, those smartest and brightest hired to bash their brains on economically meaningless microsecond market data and write economically useless quote stuffing cod...
by gw
Tue Apr 08, 2014 12:54 am
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 175
Views: 37788

Re: Help me understand Michael Lewis' "Flash Boys"

I think you're correct in asking about the "cost to synchronize," rather than the "cost" of high-speed trading (though in fairness you do both). It goes back to the presumption that multiple venues should function transparently as a single "system," in a particular way, so that it should be "free" ...
by gw
Mon Apr 07, 2014 5:00 pm
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 175
Views: 37788

Re: Help me understand Michael Lewis' "Flash Boys"

The most interesting thing about this discussion is the presumption that the markets should function as a single system . That's not obviously a good goal, or even a feasible one... The other extreme would be ... to drop RegNMS, and let each exchange operate independently. ... The only real consequ...
by gw
Mon Apr 07, 2014 2:31 pm
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 175
Views: 37788

Re: Help me understand Michael Lewis' "Flash Boys"

The most important factor in either design method, synchronous or asynchronous, is that A + B = B + A. In other words you get the same result regardless of which input path you use. That is not currently the case for the exchanges. Trades do not just depend on the information input from each trader...
by gw
Sat Apr 05, 2014 1:51 pm
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 175
Views: 37788

Re: Help me understand Michael Lewis' "Flash Boys"

Do you think that the smallest several exchanges on this list are adding or extracting value? Brokers basically have to connect and pay their membership and connection fees under Reg NMS. http://batstrading.com/market_summary/ To be fair, with the smaller exchanges, they normally don't have liquidi...
by gw
Fri Apr 04, 2014 11:55 pm
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 175
Views: 37788

Re: Help me understand Michael Lewis' "Flash Boys"

Do you think that the smallest several exchanges on this list are adding or extracting value? Brokers basically have to connect and pay their membership and connection fees under Reg NMS. http://batstrading.com/market_summary/ To be fair, with the smaller exchanges, they normally don't have liquidi...
by gw
Fri Apr 04, 2014 5:05 pm
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 175
Views: 37788

Re: Help me understand Michael Lewis' "Flash Boys"

I really am not trying to be Cpt. HFT, but I guess I will be for sake of discussion! Jack's house analogy has some issues. The situation would be more like this, there are 2 houses for sale, both for $100. You walk over to one house and buy it for $100. Your neighbor sees you do that, figures you m...
by gw
Fri Apr 04, 2014 4:59 pm
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 175
Views: 37788

Re: Help me understand Michael Lewis' "Flash Boys"

Was the whole magic of THOR that they equalized time of arrival? As far as I can tell, Thor offers two value-adds. They could act as your router, and hit all the other exchanges simultaneously (they patented this). Additionally, they slow down incoming orders until they have the correct NBBO. This ...
by gw
Fri Apr 04, 2014 2:49 pm
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

At 2:32 PM ... a large fundamental trader (a mutual fund complex) initiated a sell program.... [executing the largest net trade of the year] extremely rapidly in just 20 minutes. In other words, it was essentially a fat-finger trade by an institution with a broken algorithm. The report continues by...
by gw
Fri Apr 04, 2014 12:46 pm
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

Sure, but the flash crash was caused by the HFTs, not the market makers. That's false. See the SEC/CFTC report, for example. If you mean this report: http://www.sec.gov/spotlight/sec-cftcjointcommittee/021811-report.pdf Then I'd say they agree with me. I'm not sure what you're referring to. Surely ...
by gw
Fri Apr 04, 2014 11:45 am
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

The simplest change would probably be to introduce a 1% churn tax for any stock not held for at least one day. A slightly more complicated solution would be to enforce one second trading queues so that all transactions are held till the end of the second and then batch processed. Either of those wo...
by gw
Fri Apr 04, 2014 11:40 am
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

Why do you think market participants can't get access to the relevant technology? I mean, yeah, I don't own a car factory, but that doesn't mean I have to ride a horse to work. [Translation: get a decent broker.] Not all market participants can get access to the "relevant technology" because the te...
by gw
Fri Apr 04, 2014 11:36 am
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

Clearly_Irrational wrote: Sure, but the flash crash was caused by the HFTs, not the market makers.
That's false. See the SEC/CFTC report, for example.
by gw
Fri Apr 04, 2014 11:26 am
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

I admit, playing with OPM is fun, but you've kept hammering this 'ineptitude'. I'm curious if you have some thoughts behind it? What is the cost of market impact? How would you measure it? In my world, I don't care about the .005 per share impact - if I own 140 average days volume on a small cap st...
by gw
Thu Apr 03, 2014 3:08 pm
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

Proponents (typically HFT insiders, usually biased, but also usually the only ones who understand what they're talking about) tout the inherent value of HFT as a market-making service, Except that they're not real market makers as they have no obligation to provide liquidity, which is why we see fl...
by gw
Thu Apr 03, 2014 9:17 am
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

...it seems to me that the defenders of HFT are talking mostly about the market-making aspects of it, and the attackers of HFT are talking mostly about the manipulative aspects of it. This statement seems to presume that HFT is somehow inherently manipulative, which is false. It's otherwise pretty ...
by gw
Wed Apr 02, 2014 11:08 am
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

In todays WSJ two fund managers, Clifford Asness and Michael Mendelson explain HFT differently... This entire op-ed should be required reading. It's from the head of a major hedge fund manager not engaged in HFT, who defends HFT while criticizing Lewis for trying to sell a book with "hyperbole" by ...
by gw
Wed Apr 02, 2014 8:24 am
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

I am of the opinion that the SEC is responsible for the proliferation of high frequency trading. Back in 2000 & 2001 they allowed trading to transition from fractions of eights, sixteens, thirty-seconds of a dollar to decimals of (.01). Then in 2012 the SEC allowed trading to a tenth of a penny inc...
by gw
Wed Apr 02, 2014 8:12 am
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

The core of the story, as related on 60 Minutes, was pretty simple: RBC guy figures out (eventually) why the markets were moving before later parts of his orders reached far-away exchanges RBC guy devises a (rather trivial) mechanism for improving his fill rates, then makes a lot of noise about it ...
by gw
Tue Apr 01, 2014 11:50 pm
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

I'm not sure I follow), and they plugged the RBC guy's new trading venue, with the looped-cable delays, without explaining clearly what problem that solved, or how. One of IEX's value-adds solves a different problem. HFT sends an aggressive buy to a darkpool immediately after the offer moved up a p...
by gw
Tue Apr 01, 2014 10:47 pm
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

I don't think that's quite it. It was described more as why are essentially none of my orders getting filled before the markets move up . It's not so much all of a given buyer's orders needing to arrive at the same time, it's making sure all orders irrespective of the originator arrive in the order...
by gw
Tue Apr 01, 2014 7:32 pm
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

I don't think that's quite it. It was described more as why are essentially none of my orders getting filled before the markets move up . It's not so much all of a given buyer's orders needing to arrive at the same time, it's making sure all orders irrespective of the originator arrive in the order...
by gw
Tue Apr 01, 2014 6:47 pm
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

I don't think that's quite it. It was described more as why are essentially none of my orders getting filled before the markets move up . It's not so much all of a given buyer's orders needing to arrive at the same time, it's making sure all orders irrespective of the originator arrive in the order...
by gw
Tue Apr 01, 2014 6:33 pm
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

It's front running which is basically scalping, or in more fancy terms economic rent. So yes, it does cost regular investors. They tend to use a lot of quote stuffing, which to my mind is flat out fraud. Additionally, when one of their algos goes haywire they get a trade halt and a do over, how is ...
by gw
Tue Apr 01, 2014 5:00 pm
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

IMO, the only thing newsworthy about it all was that RBC's well-funded operation (well-funded by their poorly-served clients, that is) took years to identify and solve the problem, when it should have taken about 5 minutes. Getting accurate wiring/routing diagrams of complex networks is surprisingl...
by gw
Tue Apr 01, 2014 4:29 pm
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

From what I've been able to glean, what's being looked at now in the media (not sure about the FBI, et. al) is the practice of essentially monitoring/intercepting orders before they reach the destination exchanges and using alternate plumbing/special access (apparently often facilitated by the exch...
by gw
Tue Apr 01, 2014 4:08 pm
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

It's front running which is basically scalping, or in more fancy terms economic rent. So yes, it does cost regular investors. They tend to use a lot of quote stuffing, which to my mind is flat out fraud. Additionally, when one of their algos goes haywire they get a trade halt and a do over, how is ...
by gw
Tue Apr 01, 2014 4:05 pm
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

Now being probed by the FBI... http://www.marketwatch.com/story/fbi-probes-high-frequency-trading-for-crimes-2014-03-31?link=MW_story_latest_news yawn. Every regulatory agency in Washington has known about flash trading since the last market crash. Why is it suddenly wire fraud? Because some trader...
by gw
Tue Apr 01, 2014 3:48 pm
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

Can someone clarify or provide a link to a good tutorial on how best to execute a trade to (a) get the optimal price and (b) avoid being front run by HFT. Someone said to use limit orders and someone else said not to. I'm confused. As an individual investor buying ETFs, don't worry about it. HFT wi...
by gw
Tue Apr 01, 2014 1:20 pm
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 108
Views: 9894

Re: [High-frequency trading hurts regular customers]

The book/article is not about how HFT hurts regular customers (it generally doesn't), it is about how HFT makes it more difficult for institutional investors to make block trades without moving the market. It is debatable whether or not making block trades without moving the market is good or bad. ...
by gw
Mon Mar 31, 2014 3:50 pm
Forum: Investing - Theory, News & General
Topic: 60 Minutes 3-30-14: Michael Lewis book "Flash Boys"
Replies: 70
Views: 6140

Re: Is The US Stock Market Rigged? ~ 60 Minutes March 30, 20

normaldude wrote:
gw wrote: Nope. I didn't say anything about Vanguard and "flash trading." Not really sure what you mean.
Sure you did. On the first page:

http://www.bogleheads.org/forum/viewtop ... 0#p2013488
I don't see those words there. What is "flash trading"?
by gw
Mon Mar 31, 2014 3:49 pm
Forum: Investing - Theory, News & General
Topic: 60 Minutes 3-30-14: Michael Lewis book "Flash Boys"
Replies: 70
Views: 6140

Re: Is The US Stock Market Rigged? ~ 60 Minutes March 30, 20

... This entire discussion seems to be stressing out over very small amounts. for very large funds like the VG S & P 500 which has a turnover of 3% and non investment expenses of 0.03% the amounts involved are less than .01% of the return. Dont know why there is a need ponder over such minute amoun...