Flash Crash


I awoke this morning to a big "blip" on my GBP/USD chart:

According to Bloomberg:

During two chaotic minutes of Asian trading, the pound plunged the most since the Brexit referendum in June, with traders saying computer-initiated sell orders exacerbated the slump.

More on Bank of England to Investigate Cable "Flash Crash"

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In a press release dated April 21st 2015 the US Commodity Futures Trading Commission announced:

The unsealing of a civil enforcement action in the U.S. District Court for the Northern District of Illinois against Nav Sarao Futures Limited PLC (Sarao Futures) and Navinder Singh Sarao (Sarao) (collectively, Defendants).  The CFTC Complaint charges the Defendants with unlawfully manipulating, attempting to manipulate, and spoofing — all with regard to the E-mini S&P 500 near month futures contract (E-mini S&P). The Complaint had been filed under seal on April 17, 2015 and kept sealed until today’s arrest of Sarao by British authorities acting at the request of the U.S. Department of Justice (DOJ).  After the arrest, the DOJ unsealed its own criminal Complaint charging Sarao with substantively the same misconduct.

It seems that the CFTC has a less than secure grasp of UK corporate law, since over on this side of the pond companies are either "Limited" or "Public Limited" but not both. A quick search of Companies House reveals that the former applies in this case, and that Nav Sarao Futures Limited is in fact registered as limited company number 05497320. The CFTC announcement goes on to say that:

More on US Seeks to Extradite UK Algo Trader

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My attention has recently been drawn to an academic research paper entitled High Frequency Trading and The New-Market Makers. The author, who is from the VU University in Amsterdam, investigates the connection between high frequency trading and the emergence of new exchanges here in Europe:

More on Are High Frequency Traders About to Destroy the City of London?

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That prescient title is a quotation from a presentation given by Professor Dave Cliff of the University of Bristol at the Innovation and Algorithmic Trading conference hosted by LMAX at University College London at the end of February. I was sat at the front throughout Dave's talk, and I found myself laughing frequently. Perhaps for that very reason any shots of the back of my head have been left on the cutting room floor in the videos that have just been made available on the LMAX Trader community website. Here's Dave's extremely interesting and even more amusing presentation from that event on the subject of "Robot traders and evolving markets":

More on Human Traders are an Endangered Species!

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