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Special Forums News, Links, Events and Announcements Complex Event Processing RSS News Algorithmic Terrorism Post 302442435 by Linux Bot on Wednesday 4th of August 2010 08:15:02 AM

08-04-2010

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Algorithmic Terrorism

John Bates
08-04-2010 08:09 AM
At the CFTC's first Technology Advisory Council meeting on July 14,there was concern expressed around the concept of quote-stuffing. There wassome evidence presented that the May 6th flash crash may have been caused by orexacerbated by this activity. While with regard to the flashcrash, other marketexperts I've spoken to know dispute this was the cause, quote-stuffing is atopic worthy of discussion

At the CFTC meeting, where I was an invited participant, data waspresented from trade database development firm Nanex, which suggested quotestuffing contributed to the destabilization on May 6th. In this casethe data suggests huge numbers of quotes were fired into the market onparticular symbols (as many as 5000 per second) and that many of these wereoutside the national best bid/offer (NBBO). So what's the point of this? Wellwith latency as a key weapon, one possibility is that the generating traderscan ignore these quotes while the rest of the market has to process and respondto them - giving an advantage to the initiator. Even more cynically one canconsider these quotes misleading or even destabilizing the market. In fact,Nanex state in their paper: "What we discovered was a manipulative devicewith destabilizing effect". Quote stuffing may be innocent or an honestmistake, but Nanex's graphs tell a very interesting tale (http://www.nanex.net/FlashCrash/CCircleDay.html).There are patterns detected - on a regular basis - that one could conclude isquote stuffing for the purpose of market manipulation.

At the extreme, quote-stuffing could operate like a �denial ofservice attack� - firing so many orders that the market can't cope - andcrippling the trading of certain symbols, certain exchanges or the wholemarket. An influx of orders in sudden bursts to one exchange on one stock canslow down that system as it tries to process these orders. Nanex notes thatthere are 4,000 stocks listed on the NYSE and nine other reporting exchanges inthe U.S. If each reporting exchange for each stock quoted at 5,000 quotes persecond it would equal 180.0 million quotes per second. A daunting task nomatter how advanced their processing technology is.

Without trying to overstate the issue, in the most extremecircumstances these practices could be considered algorithmic terrorism. Onecan imagine how, at the extreme, it is potentially catastrophic. The concern isthat a well-funded terrorist organization might use such tactics in the futureto manipulate or cripple the market. So much of our economy is underpinned byelectronic trading - so protecting the market is more important than guardingFort Knox! Regulators, such as the CFTC and SEC are taking this seriously - andneed to respond.

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astro::fits::header::gsd

Astro::FITS::Header::GSD(3pm)				User Contributed Perl Documentation			     Astro::FITS::Header::GSD(3pm)

NAME

       Astro::FITS::Header::GSD - Manipulate FITS headers from GSD files

SYNOPSIS

	 use Astro::FITS::Header::GSD;

	 $hdr = new Astro::FITS::Header::GSD( Cards => @cards );
	 $hdr = new Astro::FITS::Header::GSD( gsdobj => $gsd );
	 $hdr = new Astro::FITS::Header::GSD( File => $file );

DESCRIPTION

       This module makes use of the Starlink GSD module to read from a GSD header.

       It stores information about a FITS header block in an object. Takes an hash as an argument, with either an array reference pointing to an
       array of FITS header cards, or a filename, or (alternatively) a GSD object.

METHODS

       configure
	   Reads a header from a GSD file.

	     $hdr->configure( Cards => @cards );
	     $hdr->configure( Items => @items );
	     $hdr->configure( gsdobj => $gsd );
	     $hdr->configure( File => $filename );

	   Accepts a GSD object or a filename. If both "gsdobj" and "File" keys exist, "gsdobj" key takes priority.

       writehdr
	   The GSD library is read-only. The writehdr method is not implemented for this sub-class.

NOTES

       This module requires the Starlink GSD module.

       GSD supports keys that are longer than the 8 characters allowed as part of the FITS standard. GSD keys are truncated to 8 characters by
       this module.

SEE ALSO

       NDF, Astro::FITS::Header, Astro::FITS::Header::Item Astro::FITS::Header::CFITSIO, Astro::FITS::Header::NDF

AUTHORS

       Tim Jenness <t.jenness@jach.hawaii.edu>, Alasdair Allan <aa@astro.ex.ac.uk>

COPYRIGHT

       Copyright (C) 2008-2011 Science & Technology Facilities Council.  Copyright (C) 2001-2002 Particle Physics and Astronomy Research Council.
       All Rights Reserved.

       This program is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License as published by
       the Free Software Foundation; either version 3 of the License, or (at your option) any later version.

       This program is distributed in the hope that it will be useful,but WITHOUT ANY WARRANTY; without even the implied warranty of
       MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.

       You should have received a copy of the GNU General Public License along with this program; if not, write to the Free Software Foundation,
       Inc., 59 Temple Place,Suite 330, Boston, MA  02111-1307, USA

perl v5.14.2							    2012-06-30					     Astro::FITS::Header::GSD(3pm)