I like the generator of how markets might clear under some adversarial conditions and wonder what models quants have of this they might be willing to share.
In the preprint paper - https://arxiv.org/abs/1810.10862 - I discuss a few examples of these failure modes that occur in practice. In finance, most of the discussed failures are ways to create “momentum ignition.”
Also, having done policy work on HFT, I found it’s really really hard to get quants to share any details about strategies. I suspect this would be doubly-true if it’s about manipulative strategies!
(And thanks for the other thoughts. I’m still working through what those generators’ failure modes would look like.)
In the preprint paper - https://arxiv.org/abs/1810.10862 - I discuss a few examples of these failure modes that occur in practice. In finance, most of the discussed failures are ways to create “momentum ignition.”
Also, having done policy work on HFT, I found it’s really really hard to get quants to share any details about strategies. I suspect this would be doubly-true if it’s about manipulative strategies!
(And thanks for the other thoughts. I’m still working through what those generators’ failure modes would look like.)