Tue, Jan 24, 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. Investing - This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally, Hedge fund legend David Einhorn is making a big bet on GM, After impressive 85% return in 2016, hedge fund looks to Canadian gold producer, small banks[more]

    This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally From Forbes.com: Can bank stocks continue to rise after a 28% surge in the KBW Bank Index in 2016, fueled by a post-election rally as stock pickers returned to the beaten down sector? Forget the s

  2. SWFs - China sovereign wealth fund CIC plans more U.S. investments[more]

    From Reuters.com: China Investment Corporation (CIC), the country's sovereign wealth fund, is looking to raise alternative investments in the United States due to low returns in public markets, its chairman said on Monday. CIC will boost its investments in private equity and hedge funds as wel

  3. Some hedge funds strong start in 2017 nice contrast to 2016[more]

    With the 2016 HSBC Hedge Weekly performance rankings in the books - a year in which the same leader-board entries pretty much dominated unchallenged throughout the year - comes a new leader board that is a hard-scrabble mix of hedge fund styles and categories. What is clear after but a few short wee

  4. Macro hedge funds and CTAs outperform in December on strong dollar[more]

    Komfie Manalo, Opalesque Asia: The last month of 2016 saw risk assets climbing higher, as part of expectations that the new U.S. administration will remove barriers to growth and investment, Lyxor Asset Management said. December also saw the Fed hik

  5. Opalesque Exclusive: Roxbury credit events UCITS gathers more assets[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The Roxbury Credit Events Fund, launched in September 2015, was up 4.24% in 2016, having returned seven positive months during the year. The managers raised