Posts Tagged ‘trading day


Mr. Roboto, machine or mannequin

Ayer hubo Crash en el Dow, al principio el mundo blog hablo de ordenes abultadas debido a “dedos gordos”

Here’s what I am hearing. There was a “fat finger” that caused someone to execute a large order for PG, a Dow component at a price in the high 30s when it was trading above 60.  Another word out is that someone entered a $16 BILLION trade instead of a $16 million trade – talk about fat fingers. This triggered a lot of stop loss orders in Dow Futures and caused a cascade of losses that at one point reached more than 1000 points on the Dow.

Pero hoy, la responsabilidad del hecho se la adjudican a Mr. Roboto y co.

Here’s the COO of NYSE Euronext speaking to Bloomberg:

May 6 (Bloomberg) — Computerized trades sent to electronic networks turned an orderly stock market decline into a rout, according to Larry Leibowitz, the chief operating officer of NYSE Euronext. Nasdaq OMX Group Inc. canceled trades in 286 securities that rose or fell 60 percent or more.

While the first half of the Dow Jones Industrial Average’s 998.5-point intraday plunge probably reflected normal trading, the selloff snowballed because of orders sent to venues with no investors willing to match them, Leibowitz said in an interview on Bloomberg Television.

“If you look at the charts you can see fairly clearly where the trades came in,” he said from New York. “It’s that V-shaped drop where it came down and snapped right back up. You had some very high-cap stocks trading down 50 percent or large percentages in a split-instant because there really was no liquidity in electronic markets.”

FT Alphaville

Quien mejor para pegarle a los bots que Zero Hedge (Audio Incluido)

“Guys this is probably the craziest I have seen it down here ever.” Here it is, memorialized for the generations and away from the now openly ridiculous disinformation propaganda of the mainstream media, just what a full market meltdown panic sounds like: straight from the epicenter, the S&P 500 pits. Luckily open ouctry still exists, if at least for shock value. Click here for a first hand account of the most shocking 15 minutes in recent market history. Fat finger my ass.

Por ultimo, FT Alphaville postea: una declaración de NASDAQ desligándose de lo ocurrido; y una lista con las acciones afectadas.



Kid Dynamite tiene 3 post que vale la pena leer:

holy cow wtf stocks heres what im hearing

more on crash possible trigger and high frequency trading

does anyone want to defend decision to cancel trades


Paper: Insider Trades y Mercado

Can Traders Beat the Market? Evidence from Insider Trades

This paper examines whether traders can beat the market from the perspective of execution quality. Using a revised Volume Weighted Average Price (VWAP) as the benchmark price, we analyze the trading performance of corporate insiders, and find that corporate insiders achieve positive trading alpha on both purchases and sales of stocks. The existence of a positive trading alpha is robust to controlling for firm, trading and insider characteristics. More importantly, we find evidence for the persistence in trading alpha. Those insiders who traded well in the past continue to trade well over time. Those who well execute in purchases of stocks also perform well in sales, and vice versa.

Link al Paper.


Siempre mirar y entender la volatilidad

Es la recomendación que hace Adam Warner en su post en Option Zone

Volatility levels can and should dictate everything about your trading, from price targets and stop levels to position sizing.


But for the purposes of this example, let’s just say a 2% move is the daily expectation for XYZ. That, of course, is $1 for a $50 stock.

Now, suppose the volatility of XYZ volatility doubles to 64. Now the market prices in $2 or so moves per day. The risk level of your trading, therefore, has now doubled.

If you maintain the same size position, or day trade with the same quantity as before, you’re essentially doubling your exposure. That’s only a good thing if you win.


Fun & Finance


Fun & Finance Rollover

"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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