manipulation, mastery and malady..., page-4

So ------ Heres more on HFT.
Take some time to go to the links over the weekend perhaps.


The Video here (believe it or not) shows just ONE SECOND of price action in ONE COMPANY (Public Storage Inc) http://www.nanex.net/FlashCrash/PSAVideo.html



An excellent article in The Atlantic -- http://www.theatlantic.com/science/archive/2010/08/market-data-firm-spots-the-tracks-of-bizarre-robot-traders/60829/


and there are some really excellent comments afterwards (nearly all the comments are worth reading in that article)


NANEX is the source to watch http://www.nanex.net/FlashCrash/FlashCrashAnalysis.html


And here is where the Quants hang out http://wilmott.com/index.cfm?NoCookies=Yes&forumid=1



And a new term to use Algorithmic Terrorism.



http://www.ritholtz.com/blog/2010/08/quote-stuffing-and-strange-sequences/


Worth reading the conclusion from Nanex


Nanex conclusion: "What benefit could there be to whomever is generating these extremely high quote rates? After thoughtful analysis, we can only think of one. Competition between HFT systems today has reached the point where microseconds matter. Any edge one has to process information faster than a competitor makes all the difference in this game. If you could generate a large number of quotes that your competitors have to process, but you can ignore since you generated them, you gain valuable processing time. This is an extremely disturbing development, because as more HFT systems start doing this, it is only a matter of time before quote-stuffing shuts down the entire market from congestion. We think it played an active role in the final drop on 5/6/2010, and urge everyone involved to take a look at what is going


A simple explanation (Date July 2009) http://market-ticker.org/archives/1259-High-Frequency-Trading-Is-A-Scam.html