Remember me

Register  |   Lost password?

The Trading Mesh

The US Stock Market May 6 2010 Flash Crash, One Year On Reports & Studies

Thu, 05 May 2011 08:20:00 GMT           

Well, here we are coming up to the one year anniversary of the so-called “Flash Crash“, or Seis de Mayo as it has come to be known in some circles.

So rather than attempt any kind of in-depth analysis on the events of that fateful day myself, I thought I’d provide you with a central point where you can pick up the best, most detailed reports that have been written on the topic, so you can form your own opinion.

So here are the reports, in the order they were published:

The Flash Crash: Trading Aggressiveness, Liquidity Supply, and the Impact of Intermarket Sweep Orders
Chakravarti, Wood, Upson
23rd June 2010

FINDINGS REGARDING THE MARKET EVENTS OF MAY 6, 2010
Joint CFTC-SEC Advisory Committee on Emerging Regulatory Issues
30th Sep 2010

Would Position Limits Have Made any Difference to the ‘Flash Crash’ on May 6, 2010?
Lee, Cheng, Koh
1st Nov 2010

THE MICROSTRUCTURE OF THE ‘FLASH CRASH’
Flow toxicity, liquidity crashes and the Probability of Informed Trading
Easley, Lopez, O’Hara
19th Nov 2010

The Flash Crash: The Impact of High Frequency Trading on an Electronic Market
Kirilenko, Kyle, Samadi, Tuzun
12th Jan 2011

RECOMMENDATIONS REGARDING REGULATORY RESPONSE TO THE MARKET EVENTS OF MAY 6, 2010
Summary Report of the Joint CFTC-SEC Advisory Committee on Emerging Regulatory Issues
18th Feb 2011

If there are any others you know of that you think are relevant, please let me know in the comments section below and I’ll add them to the list.

So, has much actually changed in the past year? Are the markets any more stable now than they were a year ago? Judging by recent events in the commodity markets, seemingly not. What do you think?

 

, , , , , , , , , , ,