May 24, 2010
Update 3rd June 2010: As this post originally drew much of its source material from a Themis Trading white paper, in the interests of balance we would also like to include a link to TradeWorx Inc‘s Public Commentary on the SEC’s Concept Release, where TradeWorx CEO Manoj Narang debunks the existence of the Latency Arbitrage strategy. You can find the TradeWorx document at http:/
May 17, 2010
Much has been written in the last ten days or so about the so-called “Flash Crash”, the event that occurred in the US Equities markets on the afternoon of Thursday 6th May 2010. Many market commentators are saying that speed of the crash (and the subsequent rally) was due in large part to high frequency trading. But are they correct?
Let’s take a look at what exactly did happen during those turbulent twenty minutes of trading between 2:40pm and 3:00pm on 6th. Why...