Did someone try to steal Goldman Sachs’ secret sauce (source code)?

Re:Did someone try to steal Goldman Sachs’ secret sauce (sou... by mediaman on Monday July 06, 2009 @12:07PM (#689867)

I think it can last longer than a couple months. I worked on some relative value trading algorithms in connection with work that a b school prof was working on, which got picked up by some of the major HF players. It continued to work for a couple years before the correlations faded away.

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Re:Did someone try to steal Goldman Sachs’ secret sauce (sou... by byrneseyeview on Monday July 06, 2009 @12:49PM (#689935)

Relative value and high-frequency trading are very different animals. With relative value, you probably don't even know if you have statistically significant results for a couple months; with HF, you have evidence within hours.

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Re:Did someone try to steal Goldman Sachs’ secret sauce (sou... by rjurney on Monday July 06, 2009 @12:42PM (#689920)

Do these things really work, or are they random and software validates a belief in them?

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Re:Did someone try to steal Goldman Sachs’ secret sauce (sou... by rdtsc on Monday July 06, 2009 @02:39PM (#690189)

It's the low latency that works more than the actual trading algorithm. Algorithms eventually get diluated into the market as there are so many of them.

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