The Flash Crash: The Impact of High Frequency Trading on an Electronic Market

This one just showed up on my radar:

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1686004

http://www.cftc.gov/PressRoom/PressReleases/pr5920-10.html

 

Thanks for posting.

 

Anybody actually read the whole report?

Care to summarize the points?

 

bottom line---- they race orders
its a shame the sec is so lame

 

Already posted in the other Flash Crash thread, the analysis and criticism of the report:

http://counterpunch.org/martens10042010.html

In short from memory:

1. The Kansas firm blamed for the Crash traded only 1% of the daily volume, a highly unlikely culprit.

2. Two big entities traded with each other back and forth that could have caused huge price movements, but the entities are not named in the report.

3. They only looked at minute data when with HFT you have to look at 1/1000th of that. So basicly they missed the flashed orders what were quickly removed, but could cause the system to slow down and misspricing.

4. There was a "testrun" a week earlier when for a few minutes certain stocks moved huge. That wasn't investigated...

So basicly typical government investigation...