asterisk2a + flashcrash   13

Meet the World's Most Bearish Investment Manager - YouTube
ratio - price to book value, we are current extreme value is just toped by 2000. // Tobins Q Ratio - The Q Ratio is a popular method of estimating the fair value of the stock market developed by Nobel Laureate James Tobin. It's a fairly simple concept, but laborious to calculate. The Q Ratio is the total price of the market divided by the replacement cost of all its companies. // stocks should and are a sideshow, a world for punters. what does matter is investment in capital and tools and higher productivity and progress of humans - but Fed drove wedge in, driving stocks away from reality. ... Market doesn't owe you liquidity. what if liquidity dries up and nobody wants to buy. + HFT! = Flashcrash // http://www.advisorperspectives.com/dshort/updates/Q-Ratio-and-Market-Valuation.php // could go on for another 3-4 years till reality hits the fan or an exogenous shock from an vector not seen/anticipated before.
speculative  bubbles  equity  bubble  ZIRP  NIRP  QE  dot.com  GFC  asset  allocation  hunt  for  yield  2015  Wall  Street  bond  bubble  debt  bubble  debt  monetisation  debt  monetization  distortion  Taper  underinvestment  productive  investment  productivity  output  gap  Fed  Abenomics  BOE  BOJ  ECB  market  correction  HFT  flashcrash  fiscal  policy  monetary  policy  austerity  IMF  OECD  economic  history  policy  folly  policy  error 
may 2015 by asterisk2a
Santelli: Yen and High Frequency Trading Linked?
mini-Flashcrash because of AP-hacked-Twitter-account false "White House bomb, President injured" tweet. ( http://www.guardian.co.uk/business/2013/apr/23/ap-tweet-hack-wall-street-freefall / http://www.guardian.co.uk/commentisfree/2013/apr/23/ap-twitter-hack-hoax-digital-media ) Yen Crosses are linked to equity risk moves. Especially AUD and NZD/JPY correlate with equity. ... Borrow Yen cheaply - buy higher yielding assets with that money.
algos  WallStreet  HFT  algorithms  Carry  Trade  Yen  flashcrash 
april 2013 by asterisk2a
TEDxNewWallStreet - Sean Gourley - High frequency trading and the new algorithmic ecosystem - YouTube
The speed of human strategic thinking is fundamentally limited by the biological hardware that makes up the brain. As humans we simply cannot operate on the millisecond time scale -- but algorithms can, and it is these algorithms that are now dominating the financial landscape. In this talk Sean Gourley examines this high frequency algorithmic ecosystem. An ecosystem, Gourley argues, that has evolved to the point where we as humans are no longer fully in control.
ecosystem  Artificial  intelligence  AI  algorithms  flashcrash  unintended  consequences  complexity  WallStreet  algo  HFT 
august 2012 by asterisk2a
Nanex White Paper: High Frequency Trading Is Insatiable - Its Hidden Costs | ZeroHedge
Extra capacity is vital for times of market stress from surprise news events or shocks to the system. The lack of capacity during these times will quickly lead to a drop in liquidity as traders pull out from lack of clear pricing information. This was a major cause of the flash crash.

We understand that market makers and HFT need to adjust their quotes to fast changing market conditions. But 10,000 times per second per symbol, or more, in an inactive stock? Every quote has a non-zero cost: millions of computers and miles of network cables must process and transport each one, costing both time and energy. Sending quotes and then canceling them before they ever leave the exchange network is absurd.
HFT  algo  trading  flashcrash 
october 2011 by asterisk2a
HFT Firms At Long Last Subpoenaed | ZeroHedge
 Reuters reports: "The U.S. securities regulator has sent subpoenas to high-frequency trading firms in relation to last year's "flash crash" probe, the Wall Street Journal reported, citing people familiar with the matter. The Securities and Exchange Commission (SEC) is also examining whether these firms further exacerbated the panic on May 6, 2010, when U.S. stock markets suffered a record fall within minutes, the Journal said. Some of the subpoenas have been sent since the start of the summer, the people told the Journal. The paper did not name the firms involved.
HFT  2011  SEC  subpoena  flashcrash 
august 2011 by asterisk2a
SEC Will Track Biggest Traders Activity - Bloomberg
SEC commissioners voted 5-0 today to adopt a tracking system for firms that buy and sell at least 2 million shares a day or meet other volume standards. 

“The collection of this information is particularly important given the increasingly prominent role played by very active market participants including high-frequency traders,” SEC Chairman Mary Schapiro said before the vote.The system, which would monitor firms that execute $20 million of equities a day or $200 million in a month, gives the SEC access to non-public data maintained by the traders’ broker- dealers, who would have to provide it upon request. After the rule takes effect in about two months, about 400 large traders would have to identify themselves within 60 days and broker- dealers would have to begin maintaining transaction records within seven months, according to the SEC.
SEC  reform  regulation  transparency  HFT  2011  flashcrash 
july 2011 by asterisk2a
Warning signs on market liquidity risks | Journalist Profile | Reuters.com
HFT trading prompting bids to be pulled. As the SEC described it: “This sudden decline in both price and liquidity may be symptomatic of the notion that prices were moving so fast, fundamental buyers and cross-market arbitrageurs were either unable or unwilling to supply enough buy-side liquidity.” A perfect recipe for a price vacuum and severe downdraft
Subjecting traders to an LVaR gives rise to a multiplier effect. Tighter risk management leads to more restricted positions, hence longer expected selling times, implying higher risk over the expected selling period, which further tightens the risk management, and so on. This feedback between liquidity and risk management can help explain why liquidity can suddenly drop. We show that this ‘snowballing’ illiquidity can arise if volatility rises, or if more agents face reduced risk-bearing capacity— for instance, because of investor redemptions, losses, or increased risk aversion.
algos ETF HFT causing uneconomic market dislocations
HFT  flashcrash  liquidity  trading  financialmarkets  markets  ETF  algo 
may 2011 by asterisk2a
Refuting The SEC's Lies At The Core Of The "Flash Crash" Analysis | zero hedge
There were 6,438 trades totalling 75,000 contracts. We matched them by time, price and size to the 147,577 trades (844,513 contracts) in the CME time and sales data between 14:32 and 14:52 (they matched exactly).

The SEC report identified a Sell Algorithm selling 75,000 contracts as the cause of the flash crash. If the "Sell Algorithm" in the SEC report refers to the Waddell & Reed trades, then there is a problem. A big one. Looking at the trades in context with the other trades during that time, they appear insignificant. The W&R trades also do not occur near the ignition point (14:42:44.075) we identified earlier. Furthermore, the W&R trades are practically absent during the torrential sell-off that began at 14:44:20. The bulk of the W&R trades occurred after the market bottomed and was rocketing higher -- a point in time that the SEC report tells us the market was out of liquidity.

Something is very wrong here.
flashcrash  2010  may  SEC  madoff  fraud  stockmarket  HFT  algo  quantum  hedgefunds  liquidity 
october 2010 by asterisk2a

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