tag:blogger.com,1999:blog-14963913.post8811139107744580582..comments2023-10-27T20:27:57.900-04:00Comments on Kid Dynamite's World: More on the Crash - Possible Triggers, and High Frequency TradingKid Dynamitehttp://www.blogger.com/profile/17475987512856310577noreply@blogger.comBlogger10125tag:blogger.com,1999:blog-14963913.post-32974200827276821372010-05-08T17:00:42.166-04:002010-05-08T17:00:42.166-04:00The printer story is priceless, hahahaha.The printer story is priceless, hahahaha.Unknownhttps://www.blogger.com/profile/12642759895641616024noreply@blogger.comtag:blogger.com,1999:blog-14963913.post-4945953373503931222010-05-08T01:36:28.822-04:002010-05-08T01:36:28.822-04:00I find the LRP structure hard to blame for the mes...I find the LRP structure hard to blame for the mess since a number of NASDAQ stocks like AAPL, which went as low as 200 and as high as 100,000, also get affected by that move. These types of moves have been taking place on electronic venues for nearly a decade: ACLS, COCO, DNDN and RMBS all crazy and back in minutes over the years. They are just a part of the game. Sometimes they happen in isolation, like NLY on Monday. Sometimes the whole market gets taken out. A similar 500 point insta-tank happened in 2007. They are part of the market landscape that I do not see going away.Mr. Momhttps://www.blogger.com/profile/12580218653807975850noreply@blogger.comtag:blogger.com,1999:blog-14963913.post-4316835620557861742010-05-08T01:28:18.070-04:002010-05-08T01:28:18.070-04:00enenMr. Momhttps://www.blogger.com/profile/12580218653807975850noreply@blogger.comtag:blogger.com,1999:blog-14963913.post-29082738608213075892010-05-07T07:51:28.693-04:002010-05-07T07:51:28.693-04:00algo anon's point was made by James Angel, a G...algo anon's point was made by James Angel, a G'town prof:<br /><br />"“The LRP model doesn’t work,” Angel said. “The idea that when the market is going crazy you can slow down trading in one market and not others means that sell orders were churning through the books at every other market. NYSE dropped out of the running.” "<br /><br />http://www.bloomberg.com/apps/news?pid=20601087&sid=aUGhj_upCaio&pos=4Kid Dynamitehttps://www.blogger.com/profile/17475987512856310577noreply@blogger.comtag:blogger.com,1999:blog-14963913.post-27454562931425897342010-05-07T07:34:52.033-04:002010-05-07T07:34:52.033-04:00@Anon 1:06am
I think you are on the money.
Fund...@Anon 1:06am<br /><br />I think you are on the money. <br /><br />Fundamentally this is an imbalance and the result of a sudden loss of liquidity (rightly due to HFTs pulling out to protect risk)<br /><br />However I don't think it would take a halt. For these stocks the MM's spooked too. Because the tape gapped down on low volume (which I think has to point to an error of some kind), maybe they thought they were missing news of armageddon in greece or in the gulf and hit the panic button.<br /><br />Now look at the rapid bounceback. Any HFT outfit worth its salt, just like any MM in NYSE worth anything who sat on the sidelines for long lost a huge opportunity to make money. Others didn't and got back in before any halts. boom we are right back up and those guys got paid.<br /><br />So while HFTs will get blamed, actual humans who were supposed to be making markets (like on PG) also pulled out too and net-net the system worked efficiently to deal with it to restore balance. <br /><br />also the contagion effect is clearly in force here because many people are trading baskets and correlations and so whatever was the root cause quickly spread to others. sure all of this is abetted by computers/HFT and makes things more extreme, but it happened plenty of times in the past without them.<br /><br />So of course there were winners and losers which is why nasdaq is canceling trades to ensure an "orderly" market after the fact. And of course when the populists and press start to make hay about this they HAVE to BLAME someone... in this case something...Yangabangahttps://www.blogger.com/profile/01602946300256374843noreply@blogger.comtag:blogger.com,1999:blog-14963913.post-27503471891794573612010-05-07T07:27:54.847-04:002010-05-07T07:27:54.847-04:00anon #1 fan - absolutely - no one is debating that...anon #1 fan - absolutely - no one is debating that things get accelerated by our technologically "more sophisticated" markets. i mentioned that in the post. <br /><br />anon the Algo guy - yes. thank you - someone mentioned that to me and I forgot to explain it - that's probably the single best explanation of what happened - liquidity gets rerouted to market centers that simply aren't carrying thick order books, and, KABOOM<br /><br />transor: i DO think that the market was decoupled from fundamentals! i can't debunk that! however, that doesn't meant that the solution is to turn off the machines! a solution that would be just as crazy would be to prohibit media sources from writing about the "Crash" so that all the retail investors who weren't watching intraday would be unwise and content - unaware that it ever happened. To say that there is no value trading volume to speak of is easily debunked by the fact that the stocks that traded down to 1c didn't STAY at 1c...Kid Dynamitehttps://www.blogger.com/profile/17475987512856310577noreply@blogger.comtag:blogger.com,1999:blog-14963913.post-65846760379430578222010-05-07T01:12:53.785-04:002010-05-07T01:12:53.785-04:00Hi Kid,
not for nothing, but to err is human. To ...Hi Kid,<br /><br />not for nothing, but to err is human. To Really Screw Up, You Need a Computer.<br /><br />It's 1987 portfolio insurance redux. No, portfolio insurance did not cause Black Friday, but once the the slide started, it sure as amplified it.<br /><br />Ditto for HFT.<br /><br />Regards,<br />Your No. 1 FanAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-14963913.post-89172468966938188482010-05-07T01:06:45.720-04:002010-05-07T01:06:45.720-04:00algo guy here. noone would write an app that just...algo guy here. noone would write an app that just keeps sending out orders without acks. Not just because its a bad idea, but also because finra would be all over you in a heartbeat for not marking your trades properly (long/short).<br /><br />Considering that the giant decline happened on pretty much *no* volume, I think other factors are at work. I believe the core problem here was a real order imbalance with lots of volume (which took us down the original 350), then nyse halts these stocks, the market orders get rereouted (regnms and all) to ECN's where there is much less liquidity, and what liquidity is normally there is mostly provided by the nefarious HF strats who were rightly scaling back risk. So the 10K shares that might have been a downtick on nyse blows throught the BATS book completely.<br /><br />just my .02Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-14963913.post-64270129078649855532010-05-07T00:37:49.914-04:002010-05-07T00:37:49.914-04:00KD, on the pennies thing. Your friends at ZH and e...KD, on the pennies thing. Your friends at ZH and elsewhere are going to say that this just means the algos are churning the market decoupled from fundamentals, that there is no value trading volume to speak of, that it's all a sham fueled by the Fed dumping liquidity into the system. The momentary fall to pennies was a peek behind the curtain.<br /><br />You know you're not going to be able to duck getting back into the ring on this one, right? ;-)<br /><br />Seriously though, I'm sure I'm not the only one here who wants to read your take/debunking on that point.<br /><br />-TZTransor Znoreply@blogger.comtag:blogger.com,1999:blog-14963913.post-82152176475313936812010-05-07T00:32:58.257-04:002010-05-07T00:32:58.257-04:00Hi Kid,
not for nothing, but I prefer felix salmon...Hi Kid,<br />not for nothing, but I prefer felix salmon's version of what happened (http://blogs.reuters.com/felix-salmon/2010/05/06/how-a-market-crashes/)<br /><br />there's always a tendency to grasp for explanation of every gyration in the mkt. I'm not saying that the mkt is selling off in a vacuum here, but the thing is that the selling accelaerated in the afternoon session when there wasn't much news coming out.<br /><br />Regards,<br />Your No. 1 FanAnonymousnoreply@blogger.com