Flash Boys: Cracking the Money Code

Protter, Philip

doi:10.1080/14697688.2015.1007472

Cited by 5 publications

(4 citation statements)

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“…Innovation is fostered in clusters, hubs and cities. Paradoxically, "proximity has become ever more valuable as the cost of connecting across long distances has fallen" (Glaeser, 2011, 6), so that, for instance, automated trading in financial centres demands clustering because the distance from the server to the market can determine how efficiently it can take advantage of minuscule and fleeting arbitrage opportunities (Lewis, 2014;Urstadt, 2009). Within a hub, acquaintance is not rationed by geography, and while global connections are possible, personal acquaintance is important for learning, trust and influence (Pentland, 2014).…”

Section: Digital Modernity In Spacementioning

confidence: 99%

Digital Modernity

O’Hara

2022

FNT in Web Science

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Modernity" is a social, cultural or historical descriptor for a certain type of society or set of social arrangements. This monograph reviews narratives of digital modernity, without endorsing them; as narratives, they selectively discuss aspects of our sociotechnical context, descriptively, teleologically or normatively. Digital modernity narratives focus on the possibilities of the data gathered by an ambient data infrastructure, enabled by ubiquitous devices such as the smartphone, and activities such as social networking and e-commerce. Some emphasise continuities with 20th century modernity narratives, while others emphasise discontinuity, such as theories of the singularity. Digital modernity is characterised by: a subjunctive outlook where people's choices can be anticipated and improved upon; the valorisation of disruptive innovation on demand; and control provided by data analysis within a virtual realm (cyberspace or the metaverse) which can be extended and applied to the physical world (in such applications as the quantified self and the smart city). The synergies and tensions between these three aspects are explored, as are the opportunities for and dilemmas posed by misinformation. Five principles emerge from the study of relevant texts and business models: (1) the quantity of data being produced in the world has enabled, and been enabled by, technological, social, economic and

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Section: Digital Modernity In Spacementioning

confidence: 99%

Digital Modernity

O’Hara

2022

FNT in Web Science

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“…According to Kirilenko (2011), this sell order was executed by an algorithm programmed specifically to submit special sell orders to the June 2010 E-mini exchange with the aim of realizing "an execution rate set of 9% of the trading volume calculated over the previous minute". Lewis (2014), however, is of the opinion that the conclusion drawn by the SEC can only have come about by accident. He states that the supervisors of this stock exchange do not have the knowledge or access to the information required to draw such far-reaching conclusions.…”

Section: Flash Crashmentioning

confidence: 99%

“…This rapid price drop and the subsequent return to the former level that occurred just as rapidly gave this event the name 'Flash Crash', argues Ramirez (2011). The SEC (2010) published an investigation report five months after this event in which responsibility for this Flash Crash was attributed fully to a single large sell order concerning futures, according to Lewis (2014). This order was placed mistakenly with an electronic stock exchange in Chicago by a small High Frequency Trading firm in Kansas City.…”

Section: Flash Crashmentioning

confidence: 99%

From High Frequency Trading to Self-Organizing Moral Machines

Lier¹

2016

International Journal of Technoethics

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Technology is responsible for major systemic changes within the global financial sector in general and particularly in the trade in financial products. The global financial sector has already developed into a comprehensive network of mutually connected people and computers that are constantly evaluating and approving millions of transactions. Algorithms play a crucial role within this global financial network. An algorithm is in essence merely a set of instructions developed by one or more people with the intention of having these instructions performed by a machine such as a computer, a software robot or a physical robot in order to realize an ideal result. As part of a development in which we as human beings have ever higher expectations of algorithms and these algorithms become ever more autonomous in their actions, we cannot avoid including possibilities in these algorithms that enable ethical or more considerations. To develop this ethical or moral consideration, we need a kind of ethical framework which can be used for developing algorithms. With the development of such a framework we can start to think about what we as human beings consider to be moral action by machines within the financial sector based on such a framework.

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“…Since our price process is allowed to be multi-dimensional, this situation can be easily captured by representing the prices of the same asset on different markets as different components of a vector price process. Other kinds of highfrequency strategies that can be represented via flash strategies include front-running strategies, as described in the best-selling book [Lew14] (see also [Pro15]). Our results indicate that the existence of predictable jumps lies at the origin of the sure profits generated by these types of high-frequency arbitrage strategies.…”

Section: Introductionmentioning

confidence: 99%

On the existence of sure profits via flash strategies

2019

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We introduce and study the notion of sure profit via flash strategy, consisting of a high-frequency limit of buy-and-hold trading strategies. In a fully general setting, without imposing any semimartingale restriction, we prove that there are no sure profits via flash strategies if and only if asset prices do not exhibit predictable jumps. This result relies on the general theory of processes and provides the most general formulation of the well-known fact that, in an arbitragefree financial market, asset prices (including dividends) should not exhibit jumps of a predictable direction or magnitude at predictable times. We furthermore show that any price process is always right-continuous in the absence of sure profits. Our results are robust under small transaction costs and imply that, under minimal assumptions, price changes occurring at scheduled dates should only be due to unanticipated information releases.According to the efficient market hypothesis, asset prices should fully reflect all available information (see [Fam70]). In particular, if asset prices suddenly change at scheduled or predictable dates, then this can only be due to the release of unanticipated information. Indeed, under market Date: July 31, 2019.2010 Mathematics Subject Classification. 60G07, 60G17, 60G44, 91G99.

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Flash Boys: Cracking the Money Code

Cited by 5 publications

References 1 publication

Digital Modernity

Digital Modernity

From High Frequency Trading to Self-Organizing Moral Machines

On the existence of sure profits via flash strategies

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