Re:Lessons learned building an ML trading system
by perl4ever on Friday November 29, 2019 @06:30PM
(#21667421)
Everything is about costs and benefits. It doesn't make sense to say "I want an improvement in X, no matter how small" without regard to cost, because as X becomes tiny, a very small cost could mean a net loss to society, and multiplied by lots of people, is a large loss.
Look at gas stations. If people are spending $1 driving around to save $0.10, then that's not good and at least public policy shouldn't encourage it.
And to address your concerns about depth, I believe that's where market makers (which are related to HFT) come in.