Mer om börsbottar
Jag skrev om börsbottar, eller algotrading som det kallas, i höstas. Jag tycker fortfarande att det är läskigt. Wire har en intressant artikel från innan nyår; Algorithms Take Control of Wall Street:
At its best, this system represents an efficient and intelligent capital allocation machine, a market ruled by precision and mathematics rather than emotion and fallible judgment. But at its worst, it is an inscrutable and uncontrollable feedback loop.
Tydligen hamnar algoritmerna regelbundet i tillstånd där de påverkas av och påverkar varandras beslut i en spiral:
On May 6, 2010, the Dow Jones Industrial Average inexplicably experienced a series of drops that came to be known as the flash crash, at one point shedding some 573 points in five minutes. Less than five months later, Progress Energy, a North Carolina utility, watched helplessly as its share price fell 90 percent. Also in late September, Apple shares dropped nearly 4 percent in just 30 seconds, before recovering a few minutes later. These sudden drops are now routine, and it’s often impossible to determine what caused them.
Vidare angående the flash crash:
The chaos produced seemingly nonsensical trades—shares of Accenture were sold for a penny, for instance, while shares of Apple were purchased for $100,000 each. (Both trades were subsequently canceled.) The activity briefly paralyzed the entire financial system.
Två förslag på att lugna situationen har varit (1) att frysa handeln när någon kurs förändras för mycket för fort (rate-limit) och (2) att införa avgifter för att belasta sådan form av trading (ekonomiskt styrmedel).
Läskigt som sagt men det är tveklöst imponerande:
Bradley was among the first traders to explore the power of algorithms in the late ’90s, creating approaches to investing that favored brains over access. It took him nearly three years to build his stock-scoring program. First he created a neural network, painstakingly training it to emulate his thinking—to recognize the combination of factors that his instincts and experience told him were indicative of a significant move in a stock’s price.
Uppdatering: Schneier hänvisade igår till en artikel om att attackera bottarna. Eftersom algoritmerna vilar på att de är såpass snabba räcker det tydligen med att fördröja deras handlingar väldigt lite för att kunna utnyttja dem. Minns dock att utnyttjande av buggar i algoritmer är frowned upon...
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Stefan Pettersson
At its best, this system represents an efficient and intelligent capital allocation machine, a market ruled by precision and mathematics rather than emotion and fallible judgment. But at its worst, it is an inscrutable and uncontrollable feedback loop.
Tydligen hamnar algoritmerna regelbundet i tillstånd där de påverkas av och påverkar varandras beslut i en spiral:
On May 6, 2010, the Dow Jones Industrial Average inexplicably experienced a series of drops that came to be known as the flash crash, at one point shedding some 573 points in five minutes. Less than five months later, Progress Energy, a North Carolina utility, watched helplessly as its share price fell 90 percent. Also in late September, Apple shares dropped nearly 4 percent in just 30 seconds, before recovering a few minutes later. These sudden drops are now routine, and it’s often impossible to determine what caused them.
Vidare angående the flash crash:
The chaos produced seemingly nonsensical trades—shares of Accenture were sold for a penny, for instance, while shares of Apple were purchased for $100,000 each. (Both trades were subsequently canceled.) The activity briefly paralyzed the entire financial system.
Två förslag på att lugna situationen har varit (1) att frysa handeln när någon kurs förändras för mycket för fort (rate-limit) och (2) att införa avgifter för att belasta sådan form av trading (ekonomiskt styrmedel).
Läskigt som sagt men det är tveklöst imponerande:
Bradley was among the first traders to explore the power of algorithms in the late ’90s, creating approaches to investing that favored brains over access. It took him nearly three years to build his stock-scoring program. First he created a neural network, painstakingly training it to emulate his thinking—to recognize the combination of factors that his instincts and experience told him were indicative of a significant move in a stock’s price.
Uppdatering: Schneier hänvisade igår till en artikel om att attackera bottarna. Eftersom algoritmerna vilar på att de är såpass snabba räcker det tydligen med att fördröja deras handlingar väldigt lite för att kunna utnyttja dem. Minns dock att utnyttjande av buggar i algoritmer är frowned upon...
--
Stefan Pettersson
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