Thursday, March 22, 2012

More on High Frequency Trading in Commodities

Following up on this morning's "High-frequency trading distorts commodities prices".
From ZeroHedge:
HFT Has Disconnected Commodities From Fundamentals
...The number of Ticks (trades) has risen exponentially faster than the volume - as the black (ratio) line indicates - for WTI in this case.

And on a rolling 5-minute correlation basis - it is abundantly clear that there has been a regime shift in the relationship between US equities and WTI (in this example)..

...MORE, including the UNCTAD paper