Thu, Sep 21, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Can the next flash crash be better managed with a volatility interruption algorithm?

Friday, March 01, 2013

amb
Dr. Randolf Roth
Mark Melin, Editor of Opalesque Futures Intelligence: A significant issue with High Frequency Trading (HFT) has always been defining the activity and related behavior during times of crisis. "The issue is HFT impact on market stability," noted Dr. Randolf Roth, Head of Market Structure for the Eurex Exchange.

With the May 6, 2010 Flash Crash in mind, Eurex exchange officials detailed their proprietary "Volatility Interruption" algorithm and challenges in HFT definition. The algorithm is essentially a trailing look-back trigger that provides markets a cooling off period when abnormal volatility is detected.

"This is different from a traditional exchange circuit breaker," said Vassilis Vergotis, Executive Vice President, Head of Eurex / Americas. Exchanges traditionally stop trading simply based on a given % price move in a giving market. For instance, if the price of corn were to trigger a circuit breaker in the S&P 500, for instance, trading might stop once a 20% down move in price occurred. Such "lock limit" moves are imposed on a daily basis, on an exchange by exchange basis, and did not prevent the Flash Crash due in part to the speed in which a crash can gain momentum. In an electronic trading world high latency "electronic eye" is utilized by HFT and electronic market makers to monitor and predict liquidity disparity and vola......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Asia - Hedge funds used to love shorting China. Now, not so much, Fledgling China FoFs require careful use: NCSSF, Amac, Japanese banks turn to PE, hedge funds for returns[more]

    Hedge funds used to love shorting China. Now, not so much From Bloomberg.com: A sharp devaluation. A credit crisis. And an economic hard landing. That's what some of the biggest names in the hedge fund industry were predicting for China after the nation's stocks and currency tumbled in 2

  2. Launches - Orchard launches new credit platform, ETN based on hedge fund to launch on the LSE[more]

    Orchard launches new credit platform Orchard Platform has rolled out Deals as a part of its new platform launch. With the addition of Deals to their suite of technology solutions for loan originators and institutional investors, Orchard Platform takes the next step in their evolution. De

  3. Neuberger Berman closes $1.1bn Credit Opportunities Fund[more]

    Neuberger Berman, a private, independent, employee-owned investment manager, announced that NB Private Equity Credit Opportunities Fund LP closed on $1.1 billion of limited partner commitments. The Fund seeks to invest in the secured and unsecured debt of private equity-backed companies, primarily i

  4. Capital Dynamics launches mid-market private credit business[more]

    Capital Dynamics, a global private asset manager, has launched a dedicated Private Credit Asset Management business. Experienced industry executives Jens Ernberg and Thomas Hall have joined Capital Dynamics to co-lead the company's new private credit initiative. They are based in Capital Dynamics' N

  5. ...And Finally - FAN-antic[more]

    From Newsoftheweird.com: Jeffrey Riegel, 56, of Port Republic, New Jersey, left 'em laughing with his obituary's parting shot at the Philadelphia Eagles. In it, Riegel asked that eight Eagles players act as pallbearers, "so the Eagles can let me down one last time." Riegel owned season tickets for 3