Algorithmic Trading Group Forum - algo trading is to blame for volatility

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algo trading is to blame for volatility (Read 6675 times)

qroach Full Member Offline Posts: 102 London Gender:	algo trading is to blame for volatility 12/06/08 at 11:53:24 http://www.ft.com/cms/s/0/3f57311e-c246-11dd-a350-000077b07658.html?nclick_check...
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Co0olCat Forum Moderator Offline Posts: 128 Gender:	Re: algo trading is to blame for volatility Reply #1 - 12/19/08 at 00:41:20 Why I am not surprised... It looks like 1987 again. Time-machine works!!!
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Algo Designer Forum Administrator Offline Nihil desperandum Posts: 181 Sydney Gender:	Re: algo trading is to blame for volatility Reply #2 - 12/22/08 at 00:10:15 Not unexpected. This is yet another avenue for highly adaptive trading models that take advantage of the volatility spikes caused by algorithms with short-term memory and/or optimised for the most recent data.
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statstrader

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Re: algo trading is to blame for volatility
Reply #3 - 01/23/09 at 01:04:17

I would be curious to read a study on how volatility changed with respect to the simultaneous removal of short term uptick rule and trading collar 80a. Is it just a coincidence that a 1987 style 10+sigma event occurred just after the change?
Interesting how their "studies" showed absolutely no possible volatility impact would result from changes in the rules.

Don't want to become a board cynic here, but certainly that was some coincidence. Although, admittedly there were signs of increased volatility even before that; it's just as if the rules were changed to exasperate the break in volatility bands right before they approached the cliff's edge.
Kind of like throwing grease on a fire right as it begins to lose control.

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willc

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Re: algo trading is to blame for volatility
Reply #4 - 02/14/10 at 02:45:53

In my perspective, volatility could be a good thing or a bad thing. It also drives the markets for many people who are attempting to invest and make a profit. It also allows many companies that are available for investing to be more competitive and try to drive their stock prices up.

If the market was always stable, I think there would be more of an issue. Volatility basically allows people who are trading the markets to enter and exit with little limitation.

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