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Re:New Revealing paper on High Frequency Trading by yummyfajitas on Monday September 13, 2010 @01:13PM (#1687271)
Are you honestly denying there's no connection between the stuffing of the order book with hundreds of thousands of orders and the crash?

Perhaps you missed it, but most of the graphs in your link are from July. The flash crash was May 6. So unless you want to assert that the flash crash caused the weird graphs, no, I don't see the connection. That's not to say you couldn't find similar graphs on May 6 - I guarantee that you could. In fact, you can find graphs like this almost every day (pre and post crash) if you look hard enough. And yet, we don't have flash crashes every day. We've only had two (the first was in 1962 http://online.wsj.com/article/SB1000142405274870395760457527... ).

So yeah, I do expect you to do more than point out an everyday occurrence and then assert that it (and not thousands of other things, including things which don't happen every day) caused a once-in-a-lifetime event. I expect, I dunno, correlations at the very least. Maybe even a mechanism, rather than just a theory that "I don't understand everyday event A or once in a lifetime event B, they must be related."

Re:New Revealing paper on High Frequency Trading by msy on Monday September 13, 2010 @02:15PM (#1687572)
I didn't think you were abtuse enough not to read what I linked to. But then it is hard to get someone to understand something when it's not in their interest to do so. http://www.nanex.net/20100506/FlashCrashAnalysis_Part4-1.htm...

Detailed analysis of the precise trading events that led to the crash. With data.

Re:New Revealing paper on High Frequency Trading by yummyfajitas on Monday September 13, 2010 @03:11PM (#1687814)
Your first link had graphs from July. Your new link has similar graphs from May 6. Also note that your new link agrees with what I said:

"Quote stuffing is also not a rare occurrence and these sequences are seen frequently on a daily basis; they are easy to find once you know what to look for."

Compare that to what I said: "That's not to say you couldn't find similar graphs on May 6 - I guarantee that you could. In fact, you can find graphs like this almost every day (pre and post crash) if you look hard enough."

I've seen Nanex's graphs. I don't see how they come even remotely close to explaining why crop circles (which occur everyday) caused the flash crash. Again, what is the mechanism? A DOS attack? If so, then how come we don't have a flash crash every day?