Friday, October 1, 2010

Following up: Stuxnet, HFT

Update: I thought I'd posted this last Friday, but when I returned to my computer today I found the Blogger 'edit post' window hiding behind a bunch of other windows. Oops. Anyhow, here's the post I meant to make last Friday :)

Just a very short post this afternoon to note that there is significant follow-up today on (at least) two topics I've been following closely of late:

Regarding the Flash Crash, I also want to note that I recently stumbled across an absolutely fascinating web site: Themis Trading LLC. If you don't have the time to read anything else on their web site, you absolutely must read this: Toxic Equity Trading Order Flow on Wall Street. This paper does a wonderful job of explaining, in simple and clear language and examples, just how it is that the various ultra-high-speed trading algorithms manipulate each other in subtle and surprising ways.

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