Posted by: nealc | November 2, 2009

Heston at BlackRock

Really enjoyed attending Steve Heston’s NYFS talk.  I had never been to BlackRock’s facilities so that was pretty neat also.   I have a BlackRock guest badge now!

So I’m not quite sure what to make of his talk at the moment.  He kept drilling home the idea that you could possibly pick up 2-3bps if you trade a stock at the right half-hour of the day as opposed to the wrong half-hour, and that algos, which are responsible for 1/2 of trading, haven’t figured this out yet.  He seems to suggest that it has to do with traders’ daily schedules, they trade when then come in, then they go to meetings, then they trade again before closing. Did alot of autocorrelation stuff which I’d have thought would’ve been studied long ago.  A professor type at the end asked him about the effect of changing the portfolio throughout the autocorrelations, which he didn’t mention, and which would seem to be problematic.  He did alot of decile-spread thing, which seemed to be a changing portfolio.  So taking an autocorrelation on something that’s changing would seem to be introducing something that could confound the results.  Why not do the autocorrelation study on the S&P 500?  It might not show up then.

Heston’s a rock-star nonetheless.

The crowd was also pretty interesting.  Seemed like there were lots of medium to well-known professors, then their Ph.D. students, and then some young banker types.


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