The noisy motions of instruments. The performative space of high-frequency trading

Lange, Ann-Christina

doi:10.25969/mediarep/2106

Cited by 1 publication

(2 citation statements)

References 6 publications

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“…Since then, every financial marketplace has been equipped with an electronic trading platform in which a large percentage of the usual financial transactions can be automatically generated by “clever algorithms” (Gasparin et al , 2019; Pardo Guerra, 2019). Almost 70% of equities daily are traded algorithmically; in recent years, this trend has been expanded also for trading other less liquid categories of financial assets (Lange, 2016). Firms performing algorithmic trading activities have benefited from a fragmented market structure by arbitraging prices between different trading venues and traders now use trading strategies based on algorithms to arbitrage price differences (SSG, 2015).…”

Section: Financial Algorithms and Epistemological Disordermentioning

confidence: 99%

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Opening the black boxes: financial algorithms and multi-paradigmatic research in information technology

Schınckus

Gasparin²,

Green³

2022

JSIT

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Purpose This paper aims to contribute to recent debates about financial knowledge by opening the black box of its algorithmization to understand how information systems can address the major challenges related to interactions between algorithmic trading and financial markets. Design/methodology/approach The paper analyses financial algorithms in three steps. First, the authors introduce the phenomenon of flash crash; second, the authors conduct an epistemological analysis of algorithmization and identify three epistemological regimes – epistemic, operational and authority – which differ in terms of how they deal with financial information. Third, the authors demonstrate that a flash crash emerges when there is a disconnection between these three regimes. Findings The authors open the black box of financial algorithms to understand why flash crashes occur and how information technology research can address the problem. A flash crash is a very rapid and deep fall in security prices in a very short time due to an algorithmic misunderstanding of the market. Thus, the authors investigate the problem and propose an interdisciplinary approach to clarify the scope of algorithmization of financial markets. Originality/value To manage the misalignment of information and potential disconnection between the three regimes, the authors suggest that information technology can embrace the complexity of the algorithmization of financial knowledge by diversifying its implementation through the development of a multi-sensorial platform. The authors propose sonification as a new mechanism for capturing and understanding financial information. This approach is then presented as a new research area that can contribute to the way financial innovations interact with information technology.

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Section: Financial Algorithms and Epistemological Disordermentioning

confidence: 99%

“…Furthermore, flash crashes are not happening to a specific financial asset, and they seem to spread rapidly to all kinds of assets: the equity market (Lange, 2016), the bond market (Birch, 2017) and the currency market (Condliffe, 2016).…”

Section: Introductionmentioning

confidence: 99%