Tuesday, September 21, 2010

Regulating Electronic Trades

I've been reading (The Atlantic) some (WSJ) analysis (Nanex) of the May 6th "flash-crash".

There is increasing evidence that the events of May 6th is an emergent symptom of either simple automated trading gone wrong, or the more sinister case of traders abusing the speed of the market by flooding it with bogus queries.

New milli-second resolution analys of trades are showing that some entity/entities are flooding the market with quotes to buy or sell and cancelling them within the second. Sometimes upto 7000/second. This looks to me like some kind of co-ordinated DoS attack on the market to destabilise or delay other automated trading systems and take advantage of the chaos. This is particularly troubling:


For example, on Aug. 17, from the start of stock trading at 9:30 a.m. until just after 9:51, there were, on average, 38 orders every second to buy or sell shares of Abbott Labs through the New York Stock Exchange, according to Nanex.

Then, in the span of one second, 10,704 orders hit Abbott and in the next second, another 5,483. And all but 14 of those combined orders were canceled within one second, according to data from Nanex.


Sounds like a classic DoS to me.Also (from the same source):


For example, on Feb. 18, trading volume on the Nasdaq exchange totaled about 1.247 billion shares, according to data compiled by T3 Capital Management, a New York hedge fund. However, over the course of the same day traders submitted offers to buy or sell stock for roughly 89.704 billion shares. In other words, only 1% of the orders posted on Nasdaq actually traded.


Clearly there needs to be a non-trivial cost associated with each quote - this is similar to the email spam problem. You can brute force a system quite happily if the per event cost is zero or nill. This type of market manipulation will continue until either the market fails (only to repeat the same mistake in future, I'm sure) or it's regulated.

Saturday, May 1, 2010

QFT

The telephone was an aberation in human development. It was a 70 year or so period where for some reason humans decided it was socially acceptable to ring a loud bell in someone else’s life and they were expected to come running, like dogs. This was the equivalent of thinking it was okay to walk into someone’s living room and start shouting. it was never okay. It’s less okay now. Telephone calls are rude. They are interruptive. Technology has solved this brief aberration in human behavior. We have a thing now called THE TEXT MESSAGE. It is magical, non-intrusive, optional, and, just like human speech originally was meant to be, is turn based and two way. You talk. I talk next. Then you talk. And we do it when it’s convenient for both of us.


From rickwebb's tumblrmajig

Monday, January 18, 2010

Obsessed Much?

I heard about a Perth DJ called Pogo recently. He's not just a DJ in the "traditional" sense. He also remixes video - particularly from movies. His work reminds me of The Avalanches, Röyksop and Air.


In the last week, I've become obsessed with his song called Upular - a remix of the Pixar movie Up. A few screenshots:







Here is the video: