Stock Market Flash Crash of May 6th
On May 6, 2010, the stock market was suddenly down 998 points with most of the sell off occuring within 10 minutes. Out of control selling by automated systems most likely led to this event that the SEC continues to investigate and look for ways to improve.
Stock Market Flash Crash of May 6th
http://isc.sans.edu/diary.html?storyid=9067
http://www.nanex.net/20100506/FlashCrashAnalysis_Intro.html
Stock Market Flash Crash of May 6th - COMPLETE TEXT
http://www.nanex.net/20100506/FlashCrashAnalysis_CompleteText.html
SEC Preliminary Findings
http://www.sec.gov/sec-cftc-prelimreport.pdf
QUOTE: On the afternoon of May 6, 2010 the Dow Jones Industrial Average (DJIA) dropped approximately 600 points (5.7%), and then quickly recovered. Other Major Market Indexes dropped by similar amounts. We have read numerous articles attempting to explain this event including the SEC report "Preliminary Findings Regarding the Market Events of May 6, 2010" dated May 18, 2010. Our report assumes the reader is familiar with the SEC report.
Recommendations:
1. Quote and trade data must be time stamped by the exchanges at the time it is generated.
2. Quote-stuffing should be banned to avoid overloading system.
3. Add a simple 50 millisecond quote expiration rule