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Quantitative Finance · Glosarium

Apa itu Kill switch?

Definition 27.5 Market Making and High-Frequency Trading · Bab 27 — Risk Controls

A kill switch is a control that, when triggered by a person or by a monitor, stops a strategy, desk or the whole firm from trading at once: it cancels its open orders, refuses new ones and, if so configured, flattens its positions, and it records who pulled it and why.

The loss of a runaway shaped on the 2012 incident under each control alone and under all of them together (log scale, $ million): no control (stopped by hand at 45 minutes), a person at 5 minutes, an order-rate throttle of 500 a second, a 5% price collar, a $1 billion capital threshold, a $250 million position limit and a $2 million loss limit marked each second. Data: hf_risk.table.
Figure 27.2. The loss of a runaway shaped on the 2012 incident under each control alone and under all of them together (log scale, $ million): no control (stopped by hand at 45 minutes), a person at 5 minutes, an order-rate throttle of 500 a second, a 5% price collar, a $1 billion capital threshold, a $250 million position limit and a $2 million loss limit marked each second. Data: hf_risk.table.
The trade-off of a threshold: the runaway’s loss under a loss limit ($0.5 to $4 million) and under a gross position limit ($100 to $600 million) against the share of 2 500 ordinary days on which each would have fired. Data: hf_risk.sweep.
Figure 27.3. The trade-off of a threshold: the runaway’s loss under a loss limit ($0.5 to $4 million) and under a gross position limit ($100 to $600 million) against the share of 2 500 ordinary days on which each would have fired. Data: hf_risk.sweep.
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