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Full Discussion: No evil algo-trader behind the flash crash
Special Forums News, Links, Events and Announcements Complex Event Processing RSS News No evil algo-trader behind the flash crash Post 302459281 by Linux Bot on Monday 4th of October 2010 09:15:02 AM
Old 10-04-2010
No evil algo-trader behind the flash crash
Giles Nelson
10-04-2010 08:28 AM
The long anticipated joint SEC and CTFC report on the 6 May 2010 flash-crash came out last Friday.

After reading much of the report and commentary around it, I'm feeling rather underwhelmed.

The root cause of the flash-crash, the most talked about event in the markets this year, was a boring old "percentage-by-volume" execution algorithm used by a mutual fund to sell stock market index futures. How banal.

The algorithm itself was simple. It just took into account volume, not price, and it didn't time orders into the market. Many commentators have pejoratively described this algorithm as "dumb". It may be simple, but it's one of the most common ways that orders are worked - buy or sell a certain amount of an instrument as quickly as possible but only take a certain percentage of the volume available so the market isn't impacted too much. The problem was the scale. It was the third largest intra-day order in the E-mini future in the previous 12 months - worth $4.1Bn. The two previous big orders were worked taking into account price and time and executed over 5 hours. The flash-crash order took only 20 minutes to execute 75,000 lots.

It wasn't this order on its own of course. Fear in the markets created by the risk of Greece defaulting was already causing volatility. Stub quotes (extreme value quotes put in by market makers to fulfill their market making responsibilities) appear to have contributed. There was the inter-linking between the futures market and equity markets. There was the very rapid throwing around of orders - described as the "hot potato" effect, certainly exacerbated by the many high-frequency traders in the market. There was the lack of coordinated circuit breakers in the many US equity markets. There was the lack of any real-time monitoring of markets to help regulators identify issues quickly.

High-frequency and algorithmic trading have been vilified in many quarters over the last months. I think many were expecting that the flash-crash cause would be a malignant algo, designed by geeks working in a predatory and irresponsible hedge fund, wanting to speculate and make profits from "mom and pop" pension funds. It just wasn't anything of the kind.

The flash crash has raised important issues about the structure of multi-exchange markets, the role of market makers, the lack of real-time surveillance and how a simple execution strategy could precipitate such events. I do hope that the findings in the flash-crash report will ensure a more balanced view on the role of high-frequency and algo trading in the future.



Source...
 

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LEARN ABOUT DEBIAN

mdbfontset

mdbFontset(5)							 The m17n Library						     mdbFontset(5)

NAME

       mdbFontset - Fontset

DESCRIPTION

       The m17n library loads a fontset definition from the m17n database by the tags <fontset, FONTSET-NAME>. The plist format of the data is as
       follows:

       FONTSET ::= PER-SCRIPT * PER-CHARSET * FALLBACK *

       PER-SCRIPT ::= '(' SCRIPT PER-LANGUAGE + ')'

       PER-LANGUAGE ::= '(' LANGUAGE FONT-SPEC-ELEMENT + ')'

       PER-CHARSET ::= '(' CHARSET FONT-SPEC-ELEMENT + ')'

       FALLBACK ::= FONT-SPEC-ELEMENT

       FONT-SPEC-ELEMENT ::= '(' FONT-SPEC [ FLT-NAME ] ')'

       FONT-SPEC ::=
	    '(' [ FOUNDRY FAMILY
		  [ WEIGHT [ STYLE [ STRETCH [ ADSTYLE ]]]]]
		REGISTRY
	     [ OTF-SPEC ] [ LANG-SPEC ] ')'

       SCRIPT is a symbol of script name (e.g. latin, han) or nil. LANGUAGE is a two-letter symbol of language name code defined by ISO 639 (e.g.
       ja, zh) or nil.

       FONT-SPEC is to specify properties of a font. FOUNDRY to REGISTRY are symbols corresponding to Mfoundry to Mregistry property of a font.
       See m17nFont for the meaning of each property.

       OTF-SPEC is a symbol specifyng the required OTF features. The symbol name has the following syntax.

	 OTF-SPEC-NAME ::= ':otf=' SCRIPT LANGSYS ? GSUB-FEATURES ? GPOS-FEATURES ?

	 SCRIPT ::= SYMBOL
	 LANGSYS ::= '/' SYMBOL

	 GSUB-FEATURES ::= '=' FEATURE-LIST ?

	 GPOS-FEATURES ::= '+' FEATURE-LIST ?

	 FEATURE-LIST ::= '~' ? FEATURE ( ',' '~' ? FEATURE ',' )

       Here, FEATURE is a four-letter Open Type feature.

       LANG-SPEC is a symbol specifying the required language support. The symbol name has the following syntax.

	 LANG-SPEC-NAME ::= ':lang=' LANG

       Here, LANG is a two or three-letter ISO-639 language code.

       FLT-NAME is a name of Font Layout Table (Font Layout Table).

EXAMPLE

       This is an example of PER_SCRIPT.

       (han
	 (ja
	   ((jisx0208.1983-0)))
	 (zh
	   ((gb2312.1980-0)))
	 (nil
	   ((big5-0))))

       It instructs the font selector to use a font of registry 'jisx0208.1983-0' for a 'han' character (i.e. a character whose Mscript property
       is 'han') if the character has Mlanguage text property 'ja' in an M-text and the character is in the repertories of such fonts. Otherwise,
       try a font of registry 'gb2312.1980-0' or 'big5-0'. If that 'han' character does not have Mlanguage text property, try all three fonts.

       See the function mdraw_text() for the detail of how a font is selected.

COPYRIGHT

       Copyright (C) 2001 Information-technology Promotion Agency (IPA)
       Copyright (C) 2001-2011 National Institute of Advanced Industrial Science and Technology (AIST)
       Permission is granted to copy, distribute and/or modify this document under the terms of the GNU Free Documentation License
       <http://www.gnu.org/licenses/fdl.html>.

Version 1.6.2							    12 Jan 2011 						     mdbFontset(5)
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