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...
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