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Ongoing Research - Market Events and Phenomena.

Our business is supplying a real-time data feed comprising trade and quote data for all US equity, option, and futures exchanges. We have archived this data since 2004 and have created and used numerous tools to help us sift through the enormous dataset: approximately 4 trillion quotes and trades as of July 2011. May 6th, had approximately 7.6 billion trade, quote, and depth records.

Research
Nanex White Papers and Research.
Strange Days
Daily Market Anomalies.
News Media
Nanex in the News.
10-17-2011 Coexisting without Colocating - A proposal for improving the market for everyone
10-14-2011 HFT is Insatiable - its Hidden Costs. Requires expensive capacity increases, puts market at risk every minute of every trading day.
10-10-2011 Reg NMS Has Been Rescinded! HFT no longer bound by Trade Through Rules
10-03-2011 High Freak Volatility - An example of HFT causing explosive volatility
09-28-2011
09-20-2011 HFT is now faster than light. Enter the age of the fantasecond
09-14-2011 To anyone who might say: "To my knowledge there's been no proof shown that high-frequency trading has been detrimental.", we'd like to submit this as Exhibit A.
08-31-2011 Overloading the U.S. Options Market
08-18-2011 HFT is Out-of-Control
08-11-2011
08-08-2011 HFT is Killing the eMini
08-03-2011 New SEC Limit Up/Down Proposal Would Have Made Flash Crash Worse!
07-27-2011 Direct Exchange Feed Saturated and Delayed on May 6th, 2010
07-25-2011
07-22-2011
07-14-2011
07-12-2011
07-11-2011
07-07-2011
07-06-2011
06-30-2011
06-16-2011
06-13-2011
05-17-2011
05-20-2011
10-14-2010
10-13-2010
10-08-2010
09-27-2010
09-27-2010
09-15-2010
09-09-2010
09-08-2010
08-23-2010
08-18-2010
08-10-2010
08-06-2010
07-25-2010
06-18-2010
10-17-2011 Wouldn't you rather play a nice game of chess? What used to look like a bad price or tick, now looks like a bad dream.
10-12-2011 Definition of a "Mini-Flash-Crash" The AMJ Event of October 11, 2011
10-05-2011 The PERY Event
09-29-2011 The AMD Event
09-02-2011 What is the Bid/Ask spread of this stock?
08-29-2011
08-25-2011 The case of DELL. Pure machine driven quote stuffing.
08-05-2011
08-04-2011 Random images/stocks exhibiting strange behavior on 08/04/2011.
08-03-2011
08-02-2011 It's Whac-A-Mole in ELNK. Seriously, why do we put up with this?
07-29-2011 Shares of several REIT's plummet and then quickly recover.
07-20-2011 NYSE Arca quoting problem affects 2,818 stocks during first 35 minutes of trading.
07-19-2011
07-18-2011
07-14-2011
07-14-2011
07-12-2011
07-07-2011 What appears to be a massive arbitrage algorithm involving the NYMEX Crude Oil futures (CL) and ETF symbols USO, UCO, and SCO.
06-21-2011
06-08-2011 The NatGas Algo.
06-07-2011
06-03-2011
06-03-2011
05-26-2011
05-24-2011
05-19-2011
05-18-2011
05-16-2011
05-13-2011 ESGR - From $102.00 to $0.01 (a penny) within 5 seconds.
05-12-2011
05-11-2011
05-03-2011
05-02-2011
04-28-2011
04-25-2011
03-29-2011
09-15-2010
07-16-2010
10-13-2011 Financial Times - Trading at the Speed of Light
10-10-2011 Federal Market Information Technology in the Post Flash Crash Era - Lawrence Berkeley National Laboratory
10-07-2011 Financial Times - Making sense of a million megabytes
10-07-2011 Financial Times - Speed and market complexity hamper regulation
10-04-2011 Zero Hedge Kindly Requests The Immediate Resignation Of Mary Schapiro For Gross Breach Of Professional Responsibilities - Zero Hedge
09-28-2011 HFT Alert Pulls Back the Curtain on High Frequency Trading
09-08-2011
08-24-2011
07-26-2011 TED - "they [nanex] use math and magic and I don't know what, and they reach in to all the market data and they find, actually sometimes, some of these algorithms." - Kevin Slavin
07-08-2011
07-07-2011 ZeroHedge - No, It's Not The Nat Gas "Fractal" Algo: Nanex Discloses The Very Ominous Implications Of Today's Berserk Crude Algo
07-07-2011
06-30-2011
06-09-2011
05-16-2011
04-02-2011 Barrons - Robots Rattle Data Guru, Jim McTague reports the market behavior observed by Eric Hunsader
03-28-2011
03-16-2011 VPro Backlight News - Money and Speed: Inside the Black Box iPad App
03-02-2011
02-17-2011
02-13-2011 Crapshoot Investing by Jim McTague. An entire chapter on Eric Hunsader and Nanex
01-31-2011
11-09-2010
10-21-2010
10-18-2010
10-14-2010
10-11-2010
10-11-2010
10-11-2010
10-08-2010 Reuters - Waddell not the culprit for May U.S. stocks flash crash
10-08-2010
10-08-2010
10-01-2010
09-27-2010 Wall Street Journal - Data Wonks Debut Dizzying Diagram of Flash Crash
09-27-2010
09-27-2010
09-27-2010 ZeroHedge - The Most Detailed Forensic Analysis Of The Flash Crash To Date (And Likely Ever)
09-03-2010
09-02-2010 CNBC - Nanex's Eric Hunsader talks to CNBC
09-02-2010
09-02-2010
09-02-2010
09-02-2010
08-29-2010
08-28-2010
08-28-2010
08-24-2010
08-24-2010
08-22-2010
08-18-2010
08-11-2010 CFTC Website - False Profits - Statement by CFTC Commissioner Bart Chilton confirming the NYSE Delay on May 6'th, 2010 and more.
08-04-2010 The Atlantic - Market Data Firm Spots the Tracks of Bizarre Robot Traders
08-02-2010
07-14-2010
07-14-2010
07-09-2010
06-23-2010



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