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
The aim of this article is to strengthen and improve the collaboration between professional agents of a service that manages one of the technical processes acting on a given territory by synchronizing the spatio-tempo...The aim of this article is to strengthen and improve the collaboration between professional agents of a service that manages one of the technical processes acting on a given territory by synchronizing the spatio-temporal dimensions including all agents assembled for the task. This proposal was tested in the Lamkansa neighborhood in Casablanca, Morocco. The employed approach is based GIS resources and on systemic analysis of communication present in a territory. We were inspired by several methodological developments that carried multi-actor processes in land use planning. We focused our work on strengthening the collaboration between professionals, field agents and office agents, in the process of design and monitoring the liquid sanitation system. The device is based on geolocation and synchronous feedback of topological, geographical, and multimedia data related to the liquid sanitation network. Thanks to a geo-collaborative, participative, and motivating logic, we reduced the management costs of the network and made it faster and more efficient by equally mobilizing another type of non-specialized actors (the inhabitants). This device uses spatial and temporal dimensions to consolidate collaborative work tools through ICT and GIS technologies that thematize and exchange information collected in the field. Furthermore, this device raises great interest as it entails the concept of integration of several actors in a geo-collaborative mode while combining geomatics with communication and information sciences.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.
文摘The aim of this article is to strengthen and improve the collaboration between professional agents of a service that manages one of the technical processes acting on a given territory by synchronizing the spatio-temporal dimensions including all agents assembled for the task. This proposal was tested in the Lamkansa neighborhood in Casablanca, Morocco. The employed approach is based GIS resources and on systemic analysis of communication present in a territory. We were inspired by several methodological developments that carried multi-actor processes in land use planning. We focused our work on strengthening the collaboration between professionals, field agents and office agents, in the process of design and monitoring the liquid sanitation system. The device is based on geolocation and synchronous feedback of topological, geographical, and multimedia data related to the liquid sanitation network. Thanks to a geo-collaborative, participative, and motivating logic, we reduced the management costs of the network and made it faster and more efficient by equally mobilizing another type of non-specialized actors (the inhabitants). This device uses spatial and temporal dimensions to consolidate collaborative work tools through ICT and GIS technologies that thematize and exchange information collected in the field. Furthermore, this device raises great interest as it entails the concept of integration of several actors in a geo-collaborative mode while combining geomatics with communication and information sciences.
