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Greed/fear and leveraged long investors accelerates the fall in deed. But remember for every tick the mkt advances, someone is putting money at stake, for prices to fall nobody has to put up any money. Law of relativity..

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The round-trip latency from point A to a matching engine at point B can be thought of being comprised of two components: $RTT_{total,A \rightarrow B} = RTT_{network\_transit,A \rightarrow B} + MPL_{matching\_engine,B}$ Where $RTT$ is the round-trip time and $MPL$ is the message processing latency (how long it takes to receive a message and produce an ...

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A public order book gives traders information not only on the current price of a security, but also the volume and structure of the entire supply and demand schedule. Such information can be used for arbitrage and market manipulation strategies in various ways: Spoofing: Inserting a large limit order as an apparent buy or sell signal which is canceled any ...

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I'm no expert in this topic, but I'm not sure people will be willing to share this kind of data openly, given a lot of HFT shops use such "trade secrets" to gain a competitive edge. Incidentally, I've been reading the book "Flash Boys" and there are some numbers related to your query in there. For instance, when you submit a trade from downtown Manhattan, it ...

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Assuming you are not doing HFT, seconds scale, then you could measure it. By placing a limit order and then monitoring its appearance in Level 2 market depth quotes. During quiet market, with limit price away from spread and not crowded.

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Stock market indices fall faster than they rise, in part, due to leveraged long investors. As individual stocks fall, investors must de-risk due to margin calls, and those margin calls may need to be met by selling other stocks. This causes correlations to increase as markets fall. This also causes indices to fall more quickly than they rise, since the ...

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So basically your question boils down to: How can markets be non-normal in the short run but (more) normal in the long run? The answer to that lies in the fact that certain assumptions of normality are not satisfied in the short run, one of them being independence. In the short run returns are just not independent (think e.g. volatility clustering) because ...

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I am not sure Dark Pools (DP) have been created to avoid "market manipulation". They have been created by firms because they found an advantage to create them (see Market Microstructure in Practice, L and Laruelle Eds.). The main reasons have been: spare market fees, for DP created by brokers (like UBS MTF); spare market impact, for block pools (like ...

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