Average stock held for 22 seconds (up from 20)

bigbadwolf

bigbadwolf

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Average stock is held for 22 seconds (up from 20) and average foreign currency investment 30 seconds (up from 28). Encouraging signs that investors are now beginning to think long-term. The source for these numbers is an interview with Michael Hudson (the numbers come out towards the end of the interview).
 
Welcome to the world of high frequency trading.

To make things clear, I have no idea from where did the guy pulled up this number; I wouldn't be surprised if the average time for the most "liquid" stocks is even less.
 
Mr Doe said:
Welcome to the world of high frequency trading.

To make things clear, I have no idea from where did the guy pulled up this number; I wouldn't be surprised if the average time for the most "liquid" stocks is even less.
Click to expand...

According to this source, 70% of trade positions are held for an average of 11 seconds.
 
bigbadwolf said:
According to this source, 70% of trade positions are held for an average of 11 seconds.
Click to expand...

There is some serious extrapolation at work, HFT is accounted for, as you say, 70% of volume, i.e. robots toss shares among each other; guy from HFT firm says to students his company has a holding period of 11 seconds, hence the claim.
But it is probably the best reference point.

The chart euroazn provided is an attempt of quote stuffing. Quote patterns from BATS have legendary status. Check Nanex from more info; indeed great work by the firm - far better than most academic work on HFT.
 
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