Today's Coke as well as IBM markets are jumping every hr on the hour. Does anyone know what the heck is going on? One approximate received: roughly other example of algorithms gone wild. But whose , as well as on the hr , exactly? And are in that location no humans left to counter this form of thing? Looking at the google finance plot (source here) this started just at the opened upwards today as well as seems to create got petered out. (Thanks Giovanni Puma for sending me the pictures.)
Update (Friday AM). Bloomberg article on it. They create got no sentiment either , beyond suspecting an algorithm has a põrnikas inwards it. But why tin hand the axe 1 trader motion a large marketplace pose then much?
Update 2 (Friday 10 am) Better coverage as well as improve graphs inwards the Wall Street Journal , suspecting " a reckoner algorithm known equally a time-weighted algorithmic programme , or a TWAP. These programs are designed to parse trades out over a gear upwards menses of fourth dimension , helping explicate the clockwork-like consistency of the trading. “I mean value roughly large institutional buyer is using a novel algorithm ,” mused Eric Hunsader , master copy executive of marketplace pose information service Nanex.
Translation , I think: this is a "fundamental buyer" (known equally "liquidity trader" or "mark") trying to bundle a large pose out past times spreading the merchandise out through the twenty-four hours , using an algorithm to produce then , as well as non actually watching the results. Still... a puzzle to me why people purpose such algorithms. Randomizing is the solely means non to larn forepart run. And a bigger puzzle that markets for coke as well as IBM are effectively then illiquid inwards the middle of the twenty-four hours that fifty-fifty large mistakes tin hand the axe motion prices. Stay tuned....
Update (Friday AM). Bloomberg article on it. They create got no sentiment either , beyond suspecting an algorithm has a põrnikas inwards it. But why tin hand the axe 1 trader motion a large marketplace pose then much?
Update 2 (Friday 10 am) Better coverage as well as improve graphs inwards the Wall Street Journal , suspecting " a reckoner algorithm known equally a time-weighted algorithmic programme , or a TWAP. These programs are designed to parse trades out over a gear upwards menses of fourth dimension , helping explicate the clockwork-like consistency of the trading. “I mean value roughly large institutional buyer is using a novel algorithm ,” mused Eric Hunsader , master copy executive of marketplace pose information service Nanex.
Translation , I think: this is a "fundamental buyer" (known equally "liquidity trader" or "mark") trying to bundle a large pose out past times spreading the merchandise out through the twenty-four hours , using an algorithm to produce then , as well as non actually watching the results. Still... a puzzle to me why people purpose such algorithms. Randomizing is the solely means non to larn forepart run. And a bigger puzzle that markets for coke as well as IBM are effectively then illiquid inwards the middle of the twenty-four hours that fifty-fifty large mistakes tin hand the axe motion prices. Stay tuned....
Tag :
Finance
0 Komentar untuk "More weird demeanour inwards high frequency markets"