High-Frequency Trading Created Fascinating Patterns During "Flash Crash"(nytimes.com)
nytimes.com
High-Frequency Trading Created Fascinating Patterns During "Flash Crash"
http://www.nytimes.com/2010/08/23/business/23flash.html?src=me&ref=business
1 comments
my guess is that the market looks like that all the time -- the things it describes sound like reasonable automated market-making strategies that people would try.
market making is certainly a job that needs doing, and high-frequency trading is a way that people can do it; like any system, there's some risk of a breakdown. it's a game like poker, where you've got to guess what the intentions of the other guy are.
honestly I'm not worried about the high-frequency traders, I'm worried about the longer term expectation that investors have, and about a general inbalance between capital that exists on paper and the ability of the system to put it to work
market making is certainly a job that needs doing, and high-frequency trading is a way that people can do it; like any system, there's some risk of a breakdown. it's a game like poker, where you've got to guess what the intentions of the other guy are.
honestly I'm not worried about the high-frequency traders, I'm worried about the longer term expectation that investors have, and about a general inbalance between capital that exists on paper and the ability of the system to put it to work
The hint that someone is trying a denial of service attack is intriguing. A theory was proposed about how quotes were time-stamped as they exited a queue rather than when entering the queue, causing an unfortunate feedback situation.
So we are wondering if there is a connection between that and these patterns.