A test of new market circuit breakers
August 24, 2011
The Barron’s article “Hitting the Switch on New Circuit Breakers” describes a backtest of the proposed new rules for circuit breakers in American markets.
All trades for 2008 through 2010 were inspected relative to the so-called “limit up-limit down” scheme.
Result: Maybe we should think a little more about it.
The very same Yale researchers who presented at R/Finance 2011… see http://www.rinfinance.com/agenda/2011/King+Kane+Holowczak.pdf
The article’s readership is soaring into the double digits, thanks ! Mike Kane, the Yale statistician mentioned in the story, did bleeding edge work in running a year’s worth of machine-time analysis in a week. He ran it in parallel across 60 cores on Amazon’s cloud computing service. He worked in R.
Mike is one of the R experts on big data, as he needs to be for the genomics projects he tackles at Yale. He wrote one of the packages for big data sets.
High props to Mike.
Bill Alpert
Barron’s
william.alpert@barrons.com