usually within minutes or less. "How a Trading Algorithm Went Awry". The New Financial Industry, Alabama Law Review, available at: m/abstract2417988 Lemke and Lins, "Soft Dollars and Other Trading Activities 2:30 (Thomson West,.). The success of these strategies is usually measured by comparing the average price at which the entire order was executed with the average price achieved through a benchmark execution for the same duration. Securities and Exchange Commission and the Commodity Futures Trading Commission said in reports that an algorithmic trade entered by a mutual fund company triggered a wave of selling that led to the 2010 Flash Crash. Mean reversion edit Mean reversion is a mathematical methodology sometimes used for stock investing, but it can be applied to other processes. 118128, Winter, 2011, ssrn. If the market prices are sufficiently different from those implied in the model to cover transaction cost then four transactions can be made to guarantee a risk-free profit. Website owners and affiliates will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from the use of or reliance on such information. (2008 "Fluctuation patterns in high-frequency financial asset returns", EPL, 82 (6 68005, Bibcode : 2008EL.8268005P, doi :.1209/0295-5075/82/68005 "hendershott, terrence, charles.
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Metrics compared include percent profitable, profit factor, maximum drawdown and average gain per trade. Program trading is defined by the New York Stock Exchange as an order to buy or sell 15 or more stocks valued at over US1 million total. The complex event processing engine (CEP which is the heart of decision making in algo-based trading systems, is used for order routing and risk management. Retrieved July 29, 2009. 21, April 18, 2007 a b Lauricella, Tom. "Citigroup to expand electronic trading capabilities by buying Automated Trading Desk", The Associated Press, International Herald Tribune, July 2, 2007, retrieved July 4, 2007 Event Arb Definition m, September 4th 2010 "quot; Stuffing Definition". A b c d e Rob Iati, The Real Story of Trading Software Espionage Archived July 7, 2011, at the Wayback Machine., m, July 10, 2009 Times Topics: High-Frequency Trading, The New York Times, December 20, 2012 A London Hedge Fund That Opts for Engineers.