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Predict Next HFT Flash Crash. Impress Your Friends!

(Last Updated On: November 14, 2011)

Predict Next HFT Flash Crash. Impress Your Friends!
This is a perfect big data, low latency use case.

Maureen O’Hara is someone to listen to in this space. I’ve been reading this paper and the algo is embarrassingly parallel. Who’s got the chops to take a bite? You’ll be hearing more from me in this area soon.

Here’s the link to her latest paper:

Click to access Flow%20Toxicity%20and%20Volatility%20in%20a%20High%20Frequency%20World_20110428.pdf


Why? (Predict the Next Flash Crash not read the paper?)

Not to panic everyone but aren’t we all supposed to get eaten by that big flying spaghetti monster sometime in 2012?


that means you have even less time than I thought. You’ve got to move quickly now to get into production by then…

True.
I have to wonder if you could actually place a series of trades to actually cause some of these HFT systems to tilt to an edge case and cause them to over react and to ‘stampede’. Meaning that you try and force them in to an unpredicted edge condition where they react to each other and further drive the market in a direction that you predicted… 😉

IMHO this would be highly illegal, yet difficult to prove.

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