Dan diBartolomeo explains his thoughts behind the idea that huge trading gains made by “high frequency traders” are at the expense of buy-side portfolio managers.
Dan diBartolomeo explains his thoughts behind the idea that huge trading gains made by “high frequency traders” are at the expense of buy-side portfolio managers. As a remedy, he presents a set of quantitative measures such as short-term alpha expectations, alpha decay, and risk aversion that can be inferred from a trade list and the composition of the underlying portfolio in order to improve communication between the portfolio manager and trader.