Risk Management a Challenge When Algos Go Rogue
If the Flash Crash of May 6, 2010 is one of the defining moments in the public high-frequency trading debate, then August 1, 2012 is also burned into the minds of technologists across the investment banking industry. Knight Capital, then one of the largest broker-dealers in the world, suffered a devastating blow when a system error caused thousands of orders to be placed into the market, which wound up costing the firm around $440 million and brought it perilously close to extinction. While
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