A single mystery algorithm that placed and cancelled orders on Nasdaq’s stock exchange accounted for 4 percent of all quote traffic on the US stock market last week, according to market data firm Nanex.
The algorithm also accounted for a mammoth ten percent of the bandwidth that is allowed for trading on any given day, but the motive behind its presence is still uncertain.
It placed orders in 25-millisecond bursts, which included about 500 stocks, but never actually executed a single trade. The algorithm’s activity ended at 10.30am ET on Friday.
“Just goes to show how just one person can have such an outsized impact on the market,” Eric Hunsade, head of Nanex, told CNBC. He added: “Exchanges are just not monitoring it.”
and:
http://www.france24.com/en/20121012-mammoth-mystery-algorithm-nasdaq-trading-usa-stock-markets
See also:
It’s The Algorithm Stupid! Part IV – Humanity becomes redundant
http://vrritti.com/2012/04/15/its-the-algorithm-stupid-part-iv-humanity-becomes-redundant/
It’s The Algorithm Stupid! Part III
http://vrritti.com/2012/01/01/its-the-algorithm-stupid-part-iii/
It’s the algorithm stupid! Part II
http://vrritti.com/2011/11/23/its-the-algorithm-stupid-part-ii/
It’s the algorithm, stupid! Do algorithms offer the ultimate grounds for exoneration? Can they fail, or only the people writing them?
http://vrritti.com/2011/09/30/its-the-algorithm-stupid-do-algorithms-offer-the-ultimate-grounds-for-exoneration-can-they-fail-or-only-the-people-writing-them/
#OccupyWallStreet demonstrates that there are many ways to intentionally, accidentally or unconsciously but automatically disrupt the free flow of information
http://vrritti.com/2011/10/03/occupywallstreet-demonstrates-that-there-are-many-ways-to-intentionally-accidentally-or-unconsciously-but-automatically-disrupt-the-free-flow-of-information/
