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Yesterday we came across an interesting blog post by John Cochrane, a professor at the University of Chicago’s Booth School of Business. His post, titled Weird Stuff in High Frequency Markets, highlighted the following graph from a 2011 academic paper by Hasbrouck and Saar, titled Low Latency Trading:
This chart is interesting, as it shows the flow of messages on NASDAQ over any typical 10-second interval. Note that there are large quote traffic spikes every second, on the second
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March 1st, 2012 at 10:23 pm
Following you link to Prof Cochrane’s post, I got interested in his 2nd chart. That was a clear manipulation. What was interesting was that it was not difficult technologically (There are a couple of ways you can work the queue to your favor). But you inevitably leave a lot of footprints. That means the authority knew who is doing it but look the other way. Why do they do that?