http://www.bloomberg.com/apps/news?pid=20601087&sid=ahZh1lKYXD8w&refer=home Is GS preparing for something?
they finnaly realized the obvious. now they need to ban any attempt of trading halts like after 9/11 or the threats after 87
Look at a daily of your favorite US index. July 6 was the repeal of the uptick rule. Within 7 trading days 52-week highs (all time highs, depending on your index of choice) and then the summer slide. If there is an event-driven pattern, new highs are coming and November 8 will be the beginning of the next major slide. No uptick rule + no curbs = no mercy for the uninformed, undisciplined, or passive majority. A boon for the minority! I agree with previous poster, in hindsight this will be seen as a bad move. Good trading to all Osorico
When specialists were getting hammered on plunges the NYSE favored the curbs. Now that there's no book but instead a public corporation dependant upon trading volume revenue their attitude is let 'em trade.
Some of the most destructive patterns are mindloops in trading, price cascades, when recursive/positive feedback loops get set off. These are set off on purpose to trigger wide range ATR stops. They are mostly computer driven, the trading curbs mitigate this to some effect. The last pattern was the preceding Friday. It will be advantageous for the big houses to start them earlier in the day, since the amount of time left that the exchange is open is what determines their finality. '87 was a similar mindloop, and it started on the open. These things primarily destroy small fry traders. And some retail investors who use stoplosses on investment portfolios instead of maintaining buy n hold multiyear strategy. It can set off a multisession destructive pattern.
To the best of your knowledge has anyone successfully developed and employed the use of chaff algos or mirrors?
Looking at price action it seems that they have, but I have no direct knowledge of it being implemented. http://pompone.cs.ucsb.edu/~rich/publications/gridsat-journal.pdf page 4 gives a basic description of the chaff algo. another great link. http://www.cs.cornell.edu/~sabhar/publications/thesis-chap/cl.pdf http://www.cs.uiowa.edu/~fuchs/PAPERS/darwin-ESFOR.pdf
Notice on the attached 3 year chart of the VIX that the 40 week moving average was trendless (relatively flat) until July 2007 when the uptick rule was eliminated. This created a rising VIX supported by the rising 40 week moving average (200 day moving average). "With the Curbs eliminated we will have an even stronger VIX uptrend."