So in the past few weeks I’ve made some progress on my direction and what I plan to make by Thesis Week.
For the map / visualization of high frequency trading and the importance of location, I’d like to create something in the style of this map, or board game, from the time of the Alaskan Gold Rush.
I’ve made some headway and found a listing of proprietary trading firms, some of which specialize in high frequency trading. I’ve started to find all their locations, though some gaps are still there. I’m also trying to locate the data centers for all of the trading exchanges in the US as a starting point, then perhaps globally if I can manage.
I also started moving in a bit of a different direction. Just as I am interested in the importance of location for high frequency trading, I’m also interested in the importance of time. HFT exists in a timescale that is below the limits of human perception. There is an excellent article that a lot of people were kind enough to forward to me last week, which pinpointed the differences in algorithmic behavior at timescales below 650 milliseconds, which is the time it takes a chess grandmaster to realize a mistake. At this timescale, the algorithms are just trying to interact with one another as opposed to human traders. Most interesting, is that the fractal patterns that explain the market don’t hold up at microsecond timescales. As the researcher states, they “broke the fractal.”
This got me thinking about the behavior at millisecond increments of the market, but it also got me thinking about the importance of timekeeping in order to keep high frequency trading running. Then I came across this article, which REALLY got me thinking about how important timekeeping is to our financial system. From the GPS.gov website:
Each GPS satellite contains multiple atomic clocks that contribute very precise time data to the GPS signals. GPS receivers decode these signals, effectively synchronizing each receiver to the atomic clocks. This enables users to determine the time to within 100 billionths of a second, without the cost of owning and operating atomic clocks.
HFT uses a combination of a network timing protocol and GPS to keep time. The network protocol functions along the cable, while the GPS checks the accuracy on either end of the exchange. Since GPS receivers need to point at satellites, they are usually located on the roofs of trading exchanges. To read more about the methods for timekeeping in HFT, this is a great article.
The methods that the researchers achieved this are a bit out of my means, but I’ve found a few hacker articles which gave me hope that I could theoretically interact with the market by confusing the GPS signal. I plan to test this in a controlled environment, and construct a sculpture that would have the potential to cause disruption, without ever actually using it for that purpose.
So my new plan is to make a sculpture, that would theoretically shift the timestamp of algorithmic trades, and confuse the market. I would not use this, but I think making it points out the vulnerabilities in the system, and the reliance that our financial system has on technologies that we don’t realize are involved.
Lastly, here are some screenshots, and links to a video piece I made. It’s a landscape generated from financial data. I hope to refine this piece, but I’m not sure it’s quite in the same vein as the other pieces I plan to build for my thesis.