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"Incredibly Shrinking Liquidity" as Goldman Flushed Quant Trading


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"by vets74

Share this on Twitter - "Incredibly Shrinking Liquidity" as Goldman Flushed Quant Trading  Tue Jul 07, 2009 at 02:36:37 PM PDT

"If ya ain't cheatin', ya ain't tryin'."


Apparently, Goldman Sachs has been booted out from doing computerized quant trades at the New York Stock Exchange.


-- GS had been making $100,000,000 a day with computerized trades.


-- This diary outlines one spectacular and illegal way to succeed at that business.


Indeed, GS was "cornering the market" for machine trading as cited from Zero Hedge by bobswern at dkos.


New York City's finance sector dropped 25,600 jobs in April. May be that GS charlie-hoteled every last one of them.


Then, seems one Sergey Aleynikov got himself arrested. NYTimes says its about "secret sauce" Goldman Sachs quant math. We'll consider Mr. Aleynikov's STORM patent with distributed processing agents. Recalls Triple Hop's text indexing tools. Nothing to do with quant math.


The big ticket, the magic wand for a rogue quant shop is technology to grab off FIX PROTOCOL, OCX, or SWIFT messages that precede every transaction_commit at the Exchanges."




Grabbing information is way hotter for conquering Wall Street than owning a crystal ball. MoreBTF :::


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"Here’s something to give the conspiracy buffs a total breakdown: Combine these stories from Bloomberg, Daily Kos, and Zero Hedge, and you can reach a rather unsavory conclusion:


•  Goldman Sachs’s $100 Million Trading Days Hit Record


• FBI Arrest Opens Goldman-Sachs’ Pandora’s Box


• Intraday Observations


• “Incredibly Shrinking Liquidity” as Goldman Flushed Quant Trading


What is the inference of potentially illegality here?


“That Goldman Sachs may just possibly have used security access codes and built a system to acquire trading information PRIOR to transaction commit time points at NYSE.


The profitability of this split-second information advantage would have been and could have been extraordinary. Observed yielding profits at $100,000,000 a day. [summary to address complaints with respect to complexity.]


GS has special access inside the system from its status assisting the Working Group on Financial Markets (colloquially the Plunge Protection Team) created by Presidential Order two decades ago. GC also acts as Special Liquidity Provider for NYSE.


With 60% dominance of NYSE program trading, what’s good for Goldman defines what shows as overall market performance.”


There is likely to be more info about this trickling out over the coming days and weeks. Stay tuned . . .




Hat tip Bill King



Goldman Sachs’s $100 Million Trading Days Hit Record

Christine Harper

Bloomber, May 6



FBI Arrest Opens Goldman-Sachs’ Pandora’s Box


Daily Kos, Jul 06, 2009



Intraday Observations

Tyler Durden

Zero Hedge, JULY 8, 2009



“Incredibly Shrinking Liquidity” as Goldman Flushed Quant Trading


Daily Kos, Jul 07, 2009





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