[LINK] Financial cyberspaces, and flash crashes
Roger.Clarke at xamax.com.au
Sat Feb 18 08:04:11 AEDT 2012
At 17:02 +0000 17/2/12, stephen at melbpc.org.au wrote:
> ... [oooh-aaah article on program-trading] ...
I hope the rest of it is more accurate than this bit:
>But in 1998, after the U.S. Securities and Exchange Commission authorized
>the first electronic exchanges, computer trading programs entered markets
>as equals to humans.
NASDAQ started in 1971, although its initial services wouldn't have
supported online trading suitable for bots to participate in.
The LSX, as it was then, Lond Stock Exchange, went fully online in 1986.
The ASX (Australian) introduced the fully online trading system SEATS
in 1987, and the trading floors were closed in 1990.
Apart from that, I couldn't understand from the article how sellers
could react fearfully in the millisecond timescale, in order to put
in sell orders with successively lower prices on them, such that the
sale-prices could spiral down so rapidly.
Are there really stop-loss orders in place for such large volumes of
stocks that small price-drops can trigger bandwagon effects? If so,
that's what needs to be focussed on as the underlying feature, with
speed of execution playing a bit-part (so to speak) in the fracas.
Roger Clarke http://www.rogerclarke.com/
Xamax Consultancy Pty Ltd 78 Sidaway St, Chapman ACT 2611 AUSTRALIA
Tel: +61 2 6288 1472, and 6288 6916
mailto:Roger.Clarke at xamax.com.au http://www.xamax.com.au/
Visiting Professor in the Faculty of Law University of NSW
Visiting Professor in Computer Science Australian National University
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