Comments on: The weirdly rational flash crash

By: JDonovan

JDonovan — Tue, 22 Jun 2010 16:25:56 +0000

Very interesting. We at Nanex have completed our analysis of the Flash Crash of 05/06/2010. What we found may surprise you:

http://www.nanex.net/20100506/FlashCrash Analysis_Intro.html

- Jeff

By: DavidMac1556

DavidMac1556 — Mon, 24 May 2010 08:02:15 +0000

Absolutely terrific techno-reporting! Remember, though, that the stock market is a MARKET. Every share sold has a buyer. When the market bottomed, there were buyers scooping up the detritus at bargain prices.

By: chevenez

chevenez — Sun, 23 May 2010 06:48:40 +0000

This is a test, only a test…..

Wait tell the real thing……..

By: STORYBURNcom2

STORYBURNcom2 — Sat, 22 May 2010 03:15:51 +0000

We’ve had two flash crashes since then

http://storyburn.com/

By: Beezer

Beezer — Fri, 21 May 2010 20:19:52 +0000

Last time I saw such a drop was 1987. And it took all day, not 30 minutes roundtrip.

Don’t draw any conclusions whatsoever, other than one. The place was a falling knife everywhere but on the NYSE.

By: MitchW

MitchW — Fri, 21 May 2010 15:09:32 +0000

Well, sure. That’s why everyone was so worried on May 6: there’s a good case that this is exactly where stocks should be.

By: dicktracy150

dicktracy150 — Fri, 21 May 2010 13:19:43 +0000

The levels just showed what the initial support level was where traders would start buying. Nothing strange at all. Looks like everyone is spooked enough to not buy at this support level though.

By: snick

snick — Fri, 21 May 2010 12:37:48 +0000

whoa, you’re violating the first law of HFT scapegoating: no facts allowed. But since you’ve let the cat out of the bag, yes, if you examine the tick by tick data you discover a very sane, well functioning marketplace absorbing 240,000 odd ES contracts during 2:43, 2:44, and 2:45, and handling the hedging fallout of the sale of such massive amounts quite well, especially given the initial position of every market maker on the planet. Even in having its capacity completely overwhelmed, the liquidity provisioning system worked and did the rational thing given its finite capital: it got out of the way of the tsunami and lived to fight another day. Which happened about 5 minutes later when the market almost completely recovered the incremental loss from the -350 Dow starting point. Something functioned well indeed.

By: Sensate

Sensate — Fri, 21 May 2010 03:05:54 +0000

Let’s wait and see what GS reports as their profit for that day. Front-running this had to be very fish-in-a-barrel. I’m going with the over.

By: dWj

dWj — Thu, 20 May 2010 20:31:56 +0000

I’m totally going to deploy the phrase “noted efficient markets theorist Felix Salmon” at the next possible opportunity.