Trading Financial markets : 2010 Flash Crash and HFT

Long, short, Bitcoin, forex - Plenty of alternate market disuccsion.
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superfrank
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Mon Aug 01, 2011 8:41 am

They still say they're not sure what caused it...

BoE speech on HFT http://www.bankofengland.co.uk/publicat ... ech509.pdf
Stock prices can go down as well as up. Never in financial history has this adage been more apt than on 6 May 2010. Then, the so-called “Flash Crash” sent shocks waves through global equity markets. The Dow Jones experienced its largest ever intraday point fall, losing $1 trillion of market value in the space of half an hour.

History is full of such fat-tailed falls in stocks. Was this just another to add to the list, perhaps compressed into a smaller time window?
No. This one was different. For a time, equity prices of some of the world’s biggest companies were in freefall. They appeared to be in a race to zero. Peak to trough, Accenture shares fell by over 99%, from $40 to $0.01. At precisely the same time, shares in Sotheby’s rose three thousand-fold, from $34 to $99,999.99.
These tails were not just fatter and faster. They wagged up as well as down.

The Flash Crash left market participants, regulators and academics agog. More than one year on, they remain agog. There has been no shortage of potential explanations. These are as varied as they are many: rom fat fingers to fat tails; from block trades to blocked lines; from high-speed traders to low-level abuse.

From this mixed bag, only one clear explanation emerges: that there is no clear explanation. To a first approximation, we remain unsure quite what caused the Flash Crash or whether it could recur.
In 2003, a US trading firm became insolvent in 16 seconds when an employee inadvertently turned an algorithm on. It took the company 47 minutes to realise it had gone bust.
2010 Flash Crash
http://en.wikipedia.org/wiki/2010_Flash_Crash

Nice interactive step-by-step chart of what happened on the DOW
http://online.wsj.com/article/SB1000142 ... nteractive

Iron
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Joined: Fri Dec 11, 2009 10:51 pm

Mon Sep 26, 2011 11:28 am

Quant trading: How mathematicians rule the markets - http://www.bbc.co.uk/news/business-14631547

andyfuller
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Joined: Wed Mar 25, 2009 12:23 pm

Tue Apr 21, 2015 10:55 pm

Looks like he is either going to be in a cell for a long time or not bother with a trial and negotiate a deal:

http://www.bbc.co.uk/news/business-32406056

Not sure this is what such laws were invented for! Also amazing that it was seemingly one or a small number of people that caused it.

I wouldn't fancy manipulating the Betfair markets if the U.S.A. Ever opens, they ask for you and our police deliver you, guilty until proven innocent it seems.

PeterLe
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Joined: Wed Apr 15, 2009 3:19 pm

Tue Apr 21, 2015 11:02 pm

just watched this on the news; it's amazing isn't it that a single person trading from a London semi significantly contributed towards this! maybe he's the mad bomber on here too! :D
makes you think what's possible though if you put your mind to it..

ope his cell hasn't got wifi ;)

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LeTiss
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Tue Apr 21, 2015 11:44 pm

PeterLe wrote:just watched this on the news; it's amazing isn't it that a single person trading from a London semi significantly contributed towards this! maybe he's the mad bomber on here too! :D
makes you think what's possible though if you put your mind to it..

ope his cell hasn't got wifi ;)
Doesn't surprise me at all

I've noticed a massive increase in bot activity on sport markets, but it's also so easy to trick them. It only takes a manipulation of WOM, or 1 large back/lay order and these bots react causing absolute carnage

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Euler
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Thu Apr 23, 2015 11:23 am

I can see how thin markets like Betfair can be manipulated, but it's amazing that some bloke from Hounslow could do it to the works biggest market.

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Euler
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Wed May 06, 2015 5:38 pm


andyfuller
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Thu May 07, 2015 1:55 pm

Something doesn't seem right with this story to me for example how on earth can someone in the UK in a 'normal' street have better latency than some of the huge HFT companies?

Is he just being used as a scape goat?

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Euler
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Thu May 07, 2015 2:02 pm

andyfuller wrote:Is he just being used as a scape goat?
That's how I read it, how could systems exist that would allow this? Surely the fault lies there? But there is legislation in the US that say it's illegal to manipulate so they are probably right to bring action. But the actual fault probably doesn't lie in his hands.

Hey, maybe they had cross matching switched on?

andyfuller
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Joined: Wed Mar 25, 2009 12:23 pm

Thu May 07, 2015 2:07 pm

If he is the only person to manipulate the markets then I am the Pope.

The whole thing seems very odd.

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