High Frequency Trading: 18,000 Mini-Crashes In The Past Five Years
We had spotted some hft stats before. We spotted this today:
" "Financial black swans driven by ultrafast machine ecology", more than 18,000 instances of ultrafast mini-crashes have occurred over the past five years -- almost ten per trading day on average. These mini-crashes took place in under 1.5 seconds, with many happening in less than one-tenth of a second, and moved the stock price by more than 0.8 percent. There is some evidence that the faster the trades, the higher the likelihood of an incident."
Statistics Source: Neil Johnson via HFTReview