Les "geeks" à la conquête de Wall Street - LeMonde.fr - Mozilla. LE MONDE | • Mis à jour le | Par Yves Eudes Le 3 juillet 2009, Serge Aleynikov, programmeur de logiciels financiers, est arrêté par le FBI à l'aéroport de Newark, près de New York, alors qu'il rentrait de Chicago. Il est accusé par son ancien employeur, la banque d'affaires Goldman Sachs, d'avoir volé des programmes informatiques de très haute valeur. Le soir même, la police va perquisitionner chez lui et saisit ses ordinateurs. Jusqu'alors, cet informaticien de 39 ans avait mené une vie sans histoires. Il habitait une belle maison dans une banlieue chic de New York, avec sa femme et leurs trois fillettes. Après une carrière brillante, il est embauché par Goldman Sachs en mai 2007 avec un salaire de 400 000 dollars par an (280 000 euros).
Début juin, juste avant de quitter Goldman Sachs, Serge Aleynikov fait des copies de quelques logiciels sur lesquels il travaillait, puis les envoie sur un site Internet de stockage gratuit, ainsi que sur le serveur de Teza. The Matrix, but with money: the world of high-speed trading - Ar. It sounds like something out of The Matrix: a giant, world-spanning electronic network where high-powered machines, some of them using GPUs to gain a speed advantage, run secret, rapidly-evolving software algorithms that battle it out for profits in a high-stakes game of cat-and-mouse, attack-counterattack, that yields some $21 billion a year for the winners and can spell ruin for the losers.
Except that it's not The Matrix—it's the stock and commodities markets, and the fact that these markets mainly consist now of computers trading against one another has been brought closer to the public's attention by last month's alleged theft of Goldman Sachs' proprietary trading code. Press reports of trading days that end with big gains or losses are typically accompanied by shots of a trading floor where young traders are either euphorically throwing papers into the air (up days) or staring dejectedly at a stock ticker with hand pressed to forehead, shoulders slumped in defeat (down days).
New pearl. High Frequency Trading and Goldman Sachs: Media View -- Seeking. Great recap piece in the New York Times on whether or not Wall Street is picking the pockets of "non-club" investors (read - the guys who do not generate 80% returns with a Sharpe > 5.0 - can someone explain how risk/return works again?). The consensus sure looks good for class action lawsuit lawyers. The piece also recognizes the tremendous contribution that Zero Hedge's readership has had in this ongoing debate, once more highlighting the interactive nature of new media and how crowdsourcing is the new dominant paradigm for Media 2.0. Here is the link. Even the New York Stock Exchange itself is acknowledging the HFT media campaign.
For anybody new to the site, please check out the Zero Hedge glossary for all the relevant articles on specific topics. Additionally, should it be odd that Direct Edge, the company in the eye of the Flash hurricane with its ELP program, has the following reported ownership structure: Yes. Receive future articles by this author via email: Follow Tyler Durden. Former Goldman Sachs employee charged with stealing trade secret. A former computer programmer at Goldman Sachs' Wall Street headquarters has been charged with stealing trade secrets by downloading sensitive computer codes that drive the investment bank's automatic trading systems. Sergey Aleynikov, a 39-year-old Russian immigrant to the US, was arrested by FBI agents at New York's Newark airport on Friday after Goldman raised the alarm over a suspected security breach. A Manhattan judge granted him bail today on condition that he raises surety of $750,000. He is accused by US prosecutors of improperly copying codes used to drive trading systems and of uploading the information to a file-sharing website.
According to court documents, the website is registered to an undisclosed individual in London but is associated with a computer server in Germany. He was on a salary of $400,000 until his departure from Goldman in early June to join a Chicago firm, which, he told his bosses, was offering to triple his remuneration. Goldman and High Frequency Trading. There is a funny attempt at logic going around in trying to explain Goldman’s high earnings: 1. Someone has been charged with stealing code from Goldman, code used for high frequency trading. 2. Goldman made tons of money last quarter. 3. Therefore, Goldman made its money from high frequency trading. This argument not withstanding, I doubt that Goldman is making much of its money from high frequency trading. For one thing, high frequency trading does not have a lot of capacity. For another, why bother with high frequency trading, an area where there are relatively low barriers to entry and where you have no particular comparative advantage, when you have a screaming money-making franchise that is close to unassailable?
I even wonder if the code really was for a high frequency trading operation. More interesting than what this alleged code theft might tell us about how Goldman made money is that it highlights that we have no clue how the firm really did make money. Weekend Opinionator: Is Wall Street Picking Our Pockets? - The O. Zero Hedge: Goldman Now Dominating Dark Pool Trading; Who Is Sig. The last time I discussed dark pools, it was in the context of SEC regulation due to the increasing sense of opacity of what happens in this subset of the stock market. A new Reuters article adds fuel to the fire, indicating that not only are dark pools aggressively taking away from exchange trading action, but it is in fact bank-run dark pools that are the primary culprit. "Dark pools," where orders are anonymously matched so that traders do not alert the wider market to their intentions, have triggered concerns that stock pricing may not be transparent.
But the growth of those run by broker-dealers such as Goldman Sachs and Credit Suisse are squeezing other "dark" electronic trading venues, as well as exchanges, resulting in lower fees. " As frequent Zero Hedge readers know, when it comes to program trading on a traditional exchange such the NYSE, Goldman Sachs is by far the most dominant force. Goldman Sachs Writes Clients on High-Frequency Trades (Update1) Economist Paul Krugman Aug. 4 (Bloomberg) -- Goldman Sachs Group Inc., which earns more money trading equities than any other U.S. bank, sent a letter to clients explaining its high-frequency trading as regulators and politicians step up scrutiny of the practice.
Goldman Sachs doesn’t use so-called flash programs “in the execution of client agency orders” and its high-frequency trading systems don’t see client order flow, the New York-based bank said. Such trading accounted for less than 1 percent of total revenue and value-at-risk, a measure of risk-taking, in the first half of 2009, the bank said, noting that the “vast majority” of the business stems from its role as a supplemental liquidity provider on the New York Stock Exchange. “Goldman Sachs has a long history of providing liquidity to the marketplace,” the letter said. Nasdaq, Bats, CBOE The Goldman Sachs letter was posted on the Zero Hedge blog and confirmed by Ed Canaday, a spokesman for the New York-based bank.
High Frequency Trading. A recent story in Advanced Trading goes after some of the minutae of High Frequency Trading and provides a glimpse of the total value that HFT may provide to behemoth PT powerhouses such as Goldman Sachs. The article presents a very valuable perspective on just why HFT is so critical these days, especially when cash traders go for 6 hour Starbucks breaks between 10 am and 3:30 pm: "high frequency trading firms, which represent approximately 2% of the 20,000 or so trading firms operating in the US markets today, account for 73% of all US equity trading volume. These companies include proprietary trading desks for a small number of major investment banks, less than 100 of the most sophisticated hedge funds and hundreds of the most secretive prop shops, all of which operate with one thing in mind—capture profit opportunities by being smarter and faster than the closest competition.
" And the conclusion: This is indeed, a conclusion that Zero Hedge has been pounding the table on for months. High frequency trading. Crime & Federalism: Joseph Facciponti Lied at Aleynikov Bail Hea. Sergey Aleynikov allegedly stole some software from Goldman Sachs. While on the job, Aleynikov, a former quant at Goldman Sachs, would allegedly downlownd Goldman's software.
Assistant United States Attorney Joseph Facciponti is prosecuting Aleynikov for theft of trade secrets. At Aleynikov's bail hearing, Facciponti argued that Aleynikov should not be released on bail. Yes, this is a trade secrets and not a murder prosecution. In oral argument before Magistrate Judge Kevin N. Fox, Facciponti stated: If this code is allowed to go to a competitor or to an entity that is not necessarily legal but can start trading with this, the bank itself stands to lose its entire investment in creating this software to begin with, which is millions upon millions of dollars.The bank’s profit margin will be eroded -- and I’ll explain why in a minute -- by the other competit activity.
Bail Tr. at 8 (emphasis added). Bail Tr. at 10 (emphasis added). “We still have all of the code,” Viniar said. Crime & Federalism: High Frequency Trading and Goldman Sachs. The New York Times has an excellent article on high frequency trading. Sergey Aleynikov, a man did something very right for the wrong reasons, even makes a cameo. Read the whole thing. If you want to get a better feel for the issues, the Themis Trading blog shows how high frequency trading looks: The three HFT horsemen are C, BAC and CIT.
These three stocks traded 860 million shares today which is 10% of all US Equity volume. Look at the intraday chart of all three of these stocks and you will see a something in common: an early morning move followed by a flatline with a very tight range (around .05). Meanwhile, while these stocks were flatlining the market was heading higher. There was a constant bid to these stocks yet anytime they wanted to lift there seemed to be a constant offer just a few pennies higher. Aleynikov will be given a super-sweet plea bargain. Fortunately, C&F's post disclosing Facciponti's fraud in open court has made the rounds. Crime & Federalism: More on David Viniar's Statment Regarding Go.
Sergey Aleynikov, a former Goldman Sachs employee, allegedly stole software from Goldman Sachs that, according to Goldman Sach's lawyer, Assistant United States Attorney Joseph Paul Facciponti, "could [be] use[d] it to manipulate markets in unfair ways. " In a bail hearing held before Magistrate Judge Kevin N. Fox, Facciponti said that the software would cauue Goldman’s “profit margin [to be] be eroded.” According to Facciponti, Goldman faced damages in the “millions upon millions of dollars.” On Tuesday, July 14, 2009, Goldman Sach's Chief Financial Officer, David Viniar, stated: “We still have all of the code. It could be that Facciponti commited fraud on the Court. No one knows what Goldman's stolen software does. Front running works like this: Imagine you're going to sell some stock.
Well, stock prices fluctuate according to the laws of supply and demand. Thus, Goldman Sachs, sensing market movement, uses its software to get in front of you. Le "high frequency trading" fait trembler la planète Finance. Array. Array. Le "high frequency trading" fait trembler la planète Finance - LMOUS Le "high frequency trading" est un système génial.
Incroyablement spéculatif, mais ô combien humaniste. Le "high frequency trading" est un système dans lequel des ordinateurs ultra-puissants décident d'acheter et de vendre des produits financiers, à partir d'informations reçues électroniquement. Un pilote automatique sans surveillance Mais certains rabat-joies commencent à douter du système.
Vers un Madoff 2.0 ? Frederic Ponzo, associé du cabinet de Conseil GreySpark Partners, a déclaré : "Il est totalement possible qu'un algo entrant dans une boucle infinie envoie des ordres à un rythme tel que le système ne puisse faire face". On n'arrête pas le progrès... mais on peut le faire boguer. (Article publié sur le site "Les mots ont un sens") Pour quelques millisecondes de plus. High-Frequency Trading:- Corporate super computers cornering sha. Inside Look - High Frequency Trading - Bloomberg. The State of Algorithmic Trading. Second Banker Accused of Stealing High-Frequency Trading Code | It was only a matter of time before another banker, lured by the prospects of riches, would get busted on allegations of stealing source code connected to a high-frequency, stock-and-commodities trading platform.
The latest arrest concerns a former Societe Generale trader who was being detained Tuesday on New York federal court charges of stealing the computer code of the Paris-based banking concern’s high-frequency trading software. Monday’s arrest of Samarth Agrawal, 26, came nine months after a Goldman Sachs programmer was arrested on similar charges that he, too, stole his employer’s source code for software his employer used to make sophisticated, high-speed, high-volume stock and commodities trades. The Securities and Exchange Commission is investigating the use of these programs that many believe give their users an unfair advantage over other traders. Nevertheless, stealing the code to these suspect programs remains illegal. Photo: AP See Also: Criminal Probe Looks Into Goldman Trading. Trading haute folie à Wall Street - Blogs Nicolas Barré. Analyse: Banken brauchen dringend Tempolimits - Nachrichten Wirt.
Artikel per E-Mail empfehlen Banken brauchen dringend Tempolimits Der Handel an den Finanzmärkten ist atemberaubend schnell. Die Unfallgefahr steigt. Deswegen heißt das Gebot der Stunde: Entschleunigung. Der Handel an den Finanzmärkten ist atemberaubend schnell. Es gibt ein paar weit auseinanderstehende Leitplanken, und dazwischen darf jeder so schnell fahren, wie er will. Diese Woche hätte es beinahe die japanischen Börsen erwischt.
Der Vorfall erinnert an die Ereignisse an den New Yorker Börsen Anfang Mai, die als "flash crash" bekannt wurden: Ein Fehler, dessen Ursache bis heute noch nicht geklärt ist, ließ die Kurse binnen kurzer Zeit einbrechen. Kritiker fordern nun ein Verbot des Computerhandels, doch das eigentliche Problem liegt tiefer. Die Börse hat schon viele schlimme Tage gesehen. Kursverlust: -25,33 Prozent 14.12.1914 Kursverlust: -20,53 Prozent Bemerkung: Der erste Weltkrieg dauert länger Kursverlust: -13,47 Prozent Bemerkung: Große Depression Kursverlust: -11,99 Prozent. Le "flash-order", un délit d'initié légal ?