Tuesday 3 July 2012

HFT, flash crashes, true liquidity and time redefinition


 

One of my thesis students, motivated by the quantitative analysis of market data, fell on the subject of the so-called "flash market crash" of May 6 2010 and the related subject of high-frequency trading (HFT). The Dow Jones losing USD 1 trillion in a matter of minutes to then recover quite quickly most of the value lost? That's exciting! Well, at least it is intriguing...