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The Trading Mesh

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Location: NY

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Joined: April 20th, 2012

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Chris Stucchio wrote a new blog post titled Flash Crash? Or Flash in the Pan?

This article originally appeared on Chris Stucchio's blog and is reproduced here with kind permission With the collapse of Knight Capital recently, there has been a lot of scrutiny of High Frequency Trading (HFT). Breathless reporters have been bombarding us with articles suggesting that there is danger out there. That’s all nonsense. There are two general approaches to building a robust system with high reliability. The first one I’ll call the TSA (Transportation Security Agency) method. This consists of building a...
(2109 days ago,(2012/08/13))

Chris Stucchio wrote a new blog post titled Subpenny rule elimination - roundup

This article originally appeared on Chris Stucchio's blog and is reproduced here with kind permission Just thought it’s worth pointing out a couple of responses to my post proposing the elimination of the subpenny rule. Alex Tabarrok discusses this on Marginal Revolution. In particular, look at David Krych’s comment criticizing my proposal - I haven’t had time to fully evaluate it, but it seems insightful. Dealbreaker also discusses the topic, and posts an excellent graph (which I’ll show in a moment). Apriori, if we think about...
(2188 days ago,(2012/05/25))

Chris Stucchio wrote a new blog post titled High Frequency Trading - What's broken and how to fix it

This article originally appeared on Chris Stucchio's blog and is reproduced here with kind permission  In previous posts, I discussed the basic mechanics and social utility of high frequency trading. Of particular import is that I characterized the latency arms race as socially wasteful. Now I’ll discuss a policy proposal which might mitigate the harmful effects of the race for latency, while giving better prices to speculators. Why HFT’s race each other In the previous post, I explained that HFT’s usually make their...
(2189 days ago,(2012/05/24))