Understanding Sarbanes-Oxley, What Is Different After July 2013

Understanding Sarbanes-Oxley, What Is Different After July 2013

by George Lekatis
     
 

"Users log in, are dropped into a UNIX shell, and have all of the powers of multi-processor UNIX workstations at their disposal.

We have users writing C++ code, AWK scripts, and PYTHON modules; each customizing their analyses to the specific task at hand, sharing scripts, and collaboratively building larger processes."

This is interesting! Who

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Overview

"Users log in, are dropped into a UNIX shell, and have all of the powers of multi-processor UNIX workstations at their disposal.

We have users writing C++ code, AWK scripts, and PYTHON modules; each customizing their analyses to the specific task at hand, sharing scripts, and collaboratively building larger processes."

This is interesting! Who said that?

Gregg E. Berman, Associate Director, Office of Analytics and Research, Division of Trading and Markets, U.S. Securities and Exchange Commission.

I was returning from the Raleigh Durham Airport, NC to JFK, NY. I had just led a class to the SAS Software campus in Cary (a great business environment).

We were speaking about big data and big analytics, legal obligation for extreme information management and processing, for issues that reach or exceed the capability of IT systems.

So, when I checked emails at the airport, and I received one from a colleague about the speech of Gregg E. Berman from the Office of Analytics and Research, Division of Trading and Markets, U.S. Securities and Exchange Commission, I was really interested in learning more about what is different now.

Gregg continued:

"The date was May 6, 2010. The time was 2:45 in the afternoon. And the S&P had just fallen 5% in only 5 minutes.

Ten or so minutes later, it fully recovered. Thus was born what is now commonly known as the Flash Crash.

Our job was to team up with the staff at the CFTC, figure out what happened, and write up a report as soon as possible.

If not for a few car chases, this task was worthy of an episode of Mission Impossible.
Given the interconnected nature of our markets, the first step in our analysis was to determine whether the Flash Crash was initially triggered by events in the cash equity markets or in the derivative futures markets.

To perform such an analysis we unfortunately needed to fully reconstruct the order books for thousands of individual stocks -a process that involved building analytics to process billions of individual records and took us nearly 4 months.

Recall that at that time all bets were on the problem originating in the equity markets - the press, the pundits, and even the markets themselves believed the crash must have been directly caused by something in the cash equity markets.

Speculation ranged from delays in market data; to problems arising from market fragmentation; to claims that one or more equity-based high-frequency traders suddenly went wild.
But what we were able to show by careful and painstaking analysis was that contrary to initial perceptions, the problem actually originated in the futures market for S&P 500 "E-Mini" contracts and then quickly cascaded to the markets for individual equities."

Interesting!

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Product Details

ISBN-13:
2940045178136
Publisher:
George Lekatis
Publication date:
07/20/2013
Series:
Understanding Sarbanes-Oxley , #4
Sold by:
Smashwords
Format:
NOOK Book
File size:
3 MB

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