Tim Fernholz:

People can’t really respond to stimuli much faster than in one second. The benchmark comes from cognitive scientists who find that it takes 650 milliseconds for a chess grandmaster to realize that a king has been put in check after a move. Below that time period, you can find “ultrafast extreme events,” or UEEs, in which trading algorithms cause prices to change by 0.08% or more before returning to human-time market prices. This appears to be the case when many simple algorithms, operating on limited information, pile into a single trade.

If a crash happens, but no one can actually see it, did it really happen? Apparently yes.

  1. pskotarczak reblogged this from parislemon and added:
    Wow, this is quite fascinating. And actually, the paper this article refers to looks really interesting. Definitely need...
  2. andreaszabari reblogged this from parislemon
  3. zabotage reblogged this from parislemon
  4. codreams reblogged this from parislemon
  5. tilsuchtime reblogged this from parislemon
  6. seanmcwhinnie reblogged this from parislemon
  7. parislemon posted this