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本帖被 sakuraahn 执行锁定操作(2012-07-07)
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"The problem is that when [the NYSE] slowed down, it effectively took their traders out of the market at a time when everyone else wanted to sell," said James Angel, a professor of finance at Georgetown University.
In other words, when the NYSE paused its trading, the off-exchange computers found no bids, or offers to buy.
The computers, which were looking for the best bid, were tripped up to believe the best bid was $0. The high-speed trading computers are designed to add a penny to each trade to make a commission on every deal, so the computers placed bets at a penny higher, or 1 cent. "Sell orders became desperate and went straight to their competitors' exchanges, which weren't slowed down," said Angel. "Since there were no other buyers, some computers had entered orders at a penny, so some stocks traded all the way down."
http://money.cnn.com/2010/05/07/markets/explaining_wall_street_turmoil/index.htm把16million敲成16billion的故事恐怕只是个都市传说。
纽约证交所有个跳闸机制，类似国内的跌停，跌幅超出一定范围，交易会被slow 80秒。但其他电子平台不受此限制。在周四普遍大跌的背景下，某些股触发了跳闸，导致走头无路的卖家（多半是机器）涌向纳斯达克等电子平台。
勤奋的高速交易电脑在主要平台交易被暂停的时候还是继续搜寻买家，找不到就默认最高出价是0分。而它的算法就是在最佳价上加1分钱。同时还真有人（另一台电脑）根据某些算法发出了略高于1分钱的定单。。。结果就一路下去成交了
----大概就是这个意思吧[/han]
