Flash Un-crash

By Paul Kedrosky · October 5, 2011 · ·

Colleague of mine wonders why no-one is talking about yesterday’s flash un-crash in the Russell 2000: up 4.4% in 20 minutes.

Flash uncrash

[Update] I mentioned this on twitter, and someone responded with the following chart, which adds context.

415871957

Related posts:

  1. SEC “Flash Crash” Report
  2. Readings: Education, Divorce, Debt, Flash Crash, Solar, etc.
  3. Two Favorite Moments in Live Crash Media from Crash of 05/06/10 14:45
  4. Updated: List of Steve Jobs Keynote Live Blogs
  5. Commercial Jef Fuel Consumption and Prices

Comments

  1. Justin says:
    October 5, 2011 at 2:10 pm

    I'm certainly talking about it. I bought TWM just an hour before….

  2. Abe says:
    October 5, 2011 at 8:05 pm

    There was a post on Ritholtz's blog that attributes it to Apple hitting it's 200 moving average and the technical traders kicking in to buy en mass, pulling along the whole market. If nothing else the Apple candlestick was pretty interesting.

  3. Guest says:
    October 6, 2011 at 7:32 am

    AAPL 200 day moving average increases the value of 2000 stocks by 4% in 20 minutes. Perfectly rational. That should drive billions of dollars, something that important. Sarcasm inserted.

    I agree that this HFT / ETF crap is under-discovered. They are under the radar until the sheets are lifted and everybody can see what the cockroaches have been up to. And it isn't pretty.

    The end result will be more understanding of the predatory thefts being done in the name of liquidity and spread closing. More people will become convinced the game is rigged and leave forever and "investors" that are the victims will be left with over-regulation to compensate for the stupid regulations that promulgated this in the first place.

    Makes me want to puke.

  4. Martin says:
    October 6, 2011 at 9:01 am

    This relates more the old Flash Crash report, but I love FINRA's 'clearly erroneous' get-out-of-jail-free card where they can wipe out trades made by people who can't properly configure their trading systems.

    It would be interesting for the NFL to introduce this type of review at the end of games, negating points created by errant passes to the opposing team's defense, or for professional soccer leagues to negate own goals.

    "C'mon guys – Romo obviously wasn't *trying* to throw it to that wide open linebacker. Why should he be penalized for it? Cowboys win."