{"id":4127,"date":"2012-02-08T00:43:46","date_gmt":"2012-02-08T08:43:46","guid":{"rendered":"http:\/\/www.blackswanreport.com\/blog\/?p=4127"},"modified":"2012-02-08T00:43:46","modified_gmt":"2012-02-08T08:43:46","slug":"financial-black-swans-driven-by-ultrafast-machine-ecology","status":"publish","type":"post","link":"https:\/\/www.blackswanreport.com\/blog\/2012\/02\/financial-black-swans-driven-by-ultrafast-machine-ecology\/","title":{"rendered":"Financial black swans driven by ultrafast machine ecology"},"content":{"rendered":"<blockquote>\n<p><strong>Financial black swans driven by ultrafast machine ecology<\/strong><\/p>\n<p>Neil Johnson, Guannan Zhao, Eric Hunsader, Jing Meng, Amith Ravindar, Spencer Carran, Brian Tivnan<br \/>Submitted on 7 Feb 2012 <br \/>Society&#8217;s drive toward ever faster socio-technical systems, means that there is an urgent need to understand the threat from &#8216;black swan&#8217; extreme events that might emerge. On 6 May 2010, it took just five minutes for a spontaneous mix of human and machine interactions in the global trading cyberspace to generate an unprecedented system-wide Flash Crash. However, little is known about what lies ahead in the crucial sub-second regime where humans become unable to respond or intervene sufficiently quickly. Here we analyze a set of 18,520 ultrafast black swan events that we have uncovered in stock-price movements between 2006 and 2011. We provide empirical evidence for, and an accompanying theory of, an abrupt system-wide transition from a mixed human-machine phase to a new all-machine phase characterized by frequent black swan events with ultrafast durations &lt;650ms for crashes, &lt;950ms for spikes.<\/p>\n<\/blockquote>\n<p>via <a href=\"http:\/\/arxiv.org\/abs\/1202.1448\">[1202.1448] Financial black swans driven by ultrafast machine ecology<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Financial black swans driven by ultrafast machine ecology Neil Johnson, Guannan Zhao, Eric Hunsader, Jing Meng, Amith Ravindar, Spencer Carran, Brian TivnanSubmitted on 7 Feb 2012 Society&#8217;s drive toward ever faster socio-technical systems, means that there is an urgent need to understand the threat from &#8216;black swan&#8217; extreme events that might emerge. On 6 May [&hellip;]<\/p>\n","protected":false},"author":8,"featured_media":0,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[165],"tags":[],"class_list":["post-4127","post","type-post","status-publish","format-standard","hentry","category-investing"],"_links":{"self":[{"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/posts\/4127","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/users\/8"}],"replies":[{"embeddable":true,"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/comments?post=4127"}],"version-history":[{"count":1,"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/posts\/4127\/revisions"}],"predecessor-version":[{"id":4128,"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/posts\/4127\/revisions\/4128"}],"wp:attachment":[{"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/media?parent=4127"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/categories?post=4127"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/tags?post=4127"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}