We investigate high-frequency traders’behavior in the context of the fastest and most extreme price movements(EPMs)that can be observed in the market,specifically ultrafast flash events,challenging the methodologies ...We investigate high-frequency traders’behavior in the context of the fastest and most extreme price movements(EPMs)that can be observed in the market,specifically ultrafast flash events,challenging the methodologies employed in the academic and practitioner literature for identifying sudden liquidity black holes.To refine the price-shock identification methodology,we introduce a new approach called sequence-based flash events(SFEs),which relies on tick sequences instead of predetermined fixed-time intervals within which all flash events in the sample are assumed to occur.This alternative methodology offers the advantage of pinpointing the exact time and duration of a crash,which,in turn,provides a way to more accurately define the observation windows around it.We compare our sample of SFEs with both the so-called“mini flash crashes”,as identified by the Nanex detection algorithm,and the so-called EPMs,as identified by Brogaard et al.(2018).We use close and open prices,as well as high and low prices.Based on our sample of SFEs,we find no evidence that HFTs trigger extreme price shocks.However,we find that HFTs exacerbate SFEs by increasing the net imbalance in the direction of these shocks as they occur.Finally,we show that the choice of the price-shock identification methodology is critical.Thus,we urge regulators to exercise caution and avoid hasty conclusions regarding HFTs’contribution to price stability in stressful market conditions.展开更多
Current phase comparison based pilot protection had been generally utilized as primary protection of the transmission lines in China from the 1950＇s to the 1980＇ s, Comentional phase comparison pilot protection has ...Current phase comparison based pilot protection had been generally utilized as primary protection of the transmission lines in China from the 1950＇s to the 1980＇ s, Comentional phase comparison pilot protection has a long phase comparison time, which results in a longer fault-clearing time. This paper proposes a new current phase comparison, pilot protection scheme that is based on non-power frequency fauh eun＇ent component. The phase of the fourth harmonic eun＇ent of each end of the protected line has heen abstracted hy utilizing complex wavelet transformation and then compared in order to determine whether the inner fauh occurs or not. This way can greatly deerease fauh-elearing time and improve performances of this pilot protection when fault occurs under the heavy-load current and asymmetrical operation eonditions, Many EMTP simulations have verified the proposed scheme＇s correctness and effectiveness.展开更多
文摘We investigate high-frequency traders’behavior in the context of the fastest and most extreme price movements(EPMs)that can be observed in the market,specifically ultrafast flash events,challenging the methodologies employed in the academic and practitioner literature for identifying sudden liquidity black holes.To refine the price-shock identification methodology,we introduce a new approach called sequence-based flash events(SFEs),which relies on tick sequences instead of predetermined fixed-time intervals within which all flash events in the sample are assumed to occur.This alternative methodology offers the advantage of pinpointing the exact time and duration of a crash,which,in turn,provides a way to more accurately define the observation windows around it.We compare our sample of SFEs with both the so-called“mini flash crashes”,as identified by the Nanex detection algorithm,and the so-called EPMs,as identified by Brogaard et al.(2018).We use close and open prices,as well as high and low prices.Based on our sample of SFEs,we find no evidence that HFTs trigger extreme price shocks.However,we find that HFTs exacerbate SFEs by increasing the net imbalance in the direction of these shocks as they occur.Finally,we show that the choice of the price-shock identification methodology is critical.Thus,we urge regulators to exercise caution and avoid hasty conclusions regarding HFTs’contribution to price stability in stressful market conditions.
基金Sponsored by the Power Electrical Science and Technology Foundation of XJ Group and the Shanghai University Foundation for Excellent Young Teacher.
文摘Current phase comparison based pilot protection had been generally utilized as primary protection of the transmission lines in China from the 1950＇s to the 1980＇ s, Comentional phase comparison pilot protection has a long phase comparison time, which results in a longer fault-clearing time. This paper proposes a new current phase comparison, pilot protection scheme that is based on non-power frequency fauh eun＇ent component. The phase of the fourth harmonic eun＇ent of each end of the protected line has heen abstracted hy utilizing complex wavelet transformation and then compared in order to determine whether the inner fauh occurs or not. This way can greatly deerease fauh-elearing time and improve performances of this pilot protection when fault occurs under the heavy-load current and asymmetrical operation eonditions, Many EMTP simulations have verified the proposed scheme＇s correctness and effectiveness.
