2010 Flash Crash

From GM-RKB
Jump to: navigation, search

The 2010_Flash Crash is a U.S. stock market flash crash that occurred on Thursday May 6, 2010, in which the Dow Jones Industrial Average plunged about 1,000 points (about 9%) only to recover those losses within minutes.



References

2015

  1. Nasdaq: Here’s Our Timeline of the Flash Crash, wsj.com, by Matt Phillips
  2. Lin, Tom C. W., The New Investor, 60 UCLA Law Review 678 (2013). http://ssrn.com/abstract=2227498
  3. Jane "The markets' wild ride," Montreal Gazette, May 7, 2010. Retrieved May 9, 2010
  4. Cite error: Invalid <ref> tag; no text was provided for refs named Lauricella
  5. Cite error: Invalid <ref> tag; no text was provided for refs named CNNM

2011

  • (Easley et al., 2011) ⇒ David Easley, MM Lopez De Prado, and Maureen O’Hara. (2011). “The microstructure of the flash crash: Flow toxicity, liquidity crashes and the probability of informed trading.” In: Journal of Portfolio Management, 37(2).
    • ABSTRACT: The ‘flash crash’ of May 6th 2010 was the second largest point swing (1,010.14 points) and the biggest one-day point decline (998.5 points) in the history of the Dow Jones Industrial Average. For a few minutes, $1 trillion in market value vanished. In this paper, we argue that the ‘flash crash’ is the result of the new dynamics at play in the current market structure. We highlight the role played by order toxicity in affecting liquidity provision, and we show that a measure of this toxicity, the Volume-Synchronized Probability of Informed Trading (VPIN)*, captures the increasing toxicity of the order flow in the hours and days prior to collapse. Since the ‘flash crash’ might have been avoided had liquidity providers remained in the marketplace, a solution is proposed in the form of a ‘VPIN contract’ which would allow them to dynamically monitor and manage their risks.