May 6'th 2010 Flash Crash Analysis
Continuing Developments
Our business is supplying a real-time data
feed comprising trade and quote data for all US equity, option, and
futures exchanges. We have archived this data since
2004 and have created and used numerous tools to help us sift through the
enormous dataset: approximately 2.5 trillion quotes and trades as of June 2010.
May 6th, had approximately 7.6 billion trade, quote, level 2, and depth
records.
| Research: |
11-29-2010 |
Flash Equity Failures |
We have analyzed all listed equities for 2006,
2007, 2008, 2009 and 2010 for potential "mini crashes" in individual
stocks. We were surprised at the number of incidents we found.
|
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10-14-2010 |
Our
Final Conclusion |
Our analysis of the Waddell & Reed e-Mini
trades led us to an unexpected break-through. By process of elimination, and
with the SEC report for context, we finally have a crystal clear understanding
what caused the May 6, 2010 flash crash.
|
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10-13-2010 |
SEC
Report Response |
An inspection of several key items included or
omitted from the SEC's Final Flash Crash Report.
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10-08-2010 |
Analysis of the
Waddell and Reed trade executions on May 6, 2010.
|
We have obtained the Waddell & Reed
(W&R) May 6, 2010 trade executions from the executing broker in the June
2010 eMini futures contract.
|
| |
09-27-2010 |
Nanex Flash Crash Summary
Report
|
Our latest analysis and report of the Flash
Crash. Published Sept. 27, 2010.
|
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09-20-2010 |
The
Mini Flash Crash
of 04-28-2010 |
Our latest analysis uncovers the Mini Flash Crash
of 04/28/2010, just one week prior to the Flash Crash of 05/06/2010.
|
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09-15-2010 |
BATS
Improvement: CancelBot is Dead |
It appears the BATS exchange has done due
diligence, ferreted out this algo and put a stop to it.
|
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09-15-2010 |
Recovery of the Flash Crash - Supply
and Demand
|
Analysis showing the recovery occurred not due to
strong demand, but rather because there were few sellers left. |
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09-09-2010 |
Stub Quoting Did Not Cause The
Flash Crash
|
Analysis of when and were trades were made on stub
quotes and the dollar value lost. |
|
09-08-2010 |
Did
Quote Stuffing Cause the Flash Crash?
|
Analysis of the 50 millisecond rule. |
|
08-23-2010 |
Latency
on Demand |
How delays seem to be created on the NYSE. |
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08-18-2010 |
The NBBO
is Broken
|
Further ramifications of our analysis. |
|
07-25-2010 |
Quote Rate
Data |
Data showing overall yearly trade and quote rates
since 2004. Published July 8, 2010.
|
| |
06-18-2010 |
Original Flash Crash
Report |
Our original analysis and report of the Flash
Crash. Published June 18, 2010. |
Recent
News: |
02-17-2011 |
Reuters
Interview |
Reuter's Insider, Feb. 17, 2011
|
|
01-31-2011 |
Money and Speed
Inside the Black Box (Trailer)
|
VPro Backlight News, Jan. 31, 2011
(full show coming soon) |
| |
10-21-2010 |
Flash
Crash Report Points Finger at Wrong Source of Big Trade That Went
Bad
|
AI5000, Oct. 21 2010 |
| |
10-18-2010 |
Maybe
the Flash Crash Wasn't Caused by 1 Dumb Trade
|
The Atlantic, Oct 18 2010 |
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10-14-2010 |
The
Saga Continues: Flash Crash Controversy
|
AI5000, Oct. 14 2010 |
|
10-11-2010 |
Illinois
data firm points finger toward high-frequency traders in May 6 flash crash
|
Kansas City Star, Oct. 11, 2010 |
|
10-11-2010 |
High
Frequency Trading: What You Missed on ‘60 Minutes’
|
Wall Street Journal, Oct. 11, 2010 |
|
10-11-2010 |
Flash
Report Is Put to Test
|
Wall Street Journal, Oct. 11, 2010 |
| |
10-08-2010 |
Waddell not the
culprit for May U.S. stocks flash crash
|
Reuters, Oct. 8, 2010 |
| |
10-08-2010 |
Casting
Doubt on Single-Trade Spark in Flash Crash
|
New York Times, Oct. 8, 2010 |
| |
10-08-2010 |
Refuting
The SEC's Lies At The Core Of The "Flash Crash" Analysis
|
Zero Hedge, Oct. 8, 2010 |
|
10-01-2010 |
The
5 Dumbest Things on Wall Street
|
TheStreet, Oct. 1 2010 |
| |
09-27-2010 |
Data
Wonks Debut Dizzying Diagram of Flash Crash
|
Wall Street Journal, Sept. 27 2010 |
| |
09-27-2010 |
Troubling
Trades Found Ahead of Flash Crash
|
New York Times, Sept. 27 2010 |
| |
09-27-2010 |
Stock
"flash crash" sparked by orders, sales
|
Reuters, Sept. 27 2010 |
| |
09-27-2010 |
The
Most Detailed Forensic Analysis Of The Flash Crash To Date (And Likely
Ever)
|
Zero Hedge, Sept. 27, 2010 |
|
09-03-2010 |
Fox
News Video |
"Quote Stuffing" Credited to Nanex and
Explained on FOX News.
|
| |
09-02-2010 |
CNBC
Video |
Nanex's Eric Hunsader talks to CNBC on
9-2-2010.
|
| |
09-02-2010 |
'Quote stuffing'
a focus in flash crash probe |
CFTC commissioner Scott O'Malia talks to Reuters
about the ongoing investigation and how Nanex
databases are being used to assist in the investigation. Reuters, Sept. 2,
2010
|
|
09-02-2010 |
SEC Probes
Canceled Trades
|
Wall Street Journal, Sept. 2, 2010 |
|
08-29-2010 |
The Flash Crash
|
ABC Radio National interview with Eric Hunsader
and discussion of the Flash Crash.
Transcript
also available. |
|
08-24-2010 |
NYSE
confirms
Nanex Findings. |
Our "Flash Crash" Analysis was
correct and confirmed in this article in The Atlantic and Asset
International. Article courtesy of Joe Flood, Asset International
Magazine, and The Atlantic.
|
Continued Research,
Specific Instances: |
08-10-2010 |
Cisco Systems
07/29/2010 |
What Happened to Cisco Systems on 07/29/2010, how
to trip a circuit breaker on demand. |
|
08-06-2010 |
PSA
07/22/2010
|
Video clip of high quote rates for PSA on
7-22-2010. |
|
07-16-2010 |
07-16-2010
Strange Days |
Pre Market HFT Quoting Observed. |
Daily High Frequency Quoting
Stats - Data generated by the applications we use to screen for high
quote rates, sequential quote bursts and strange sequences. (ongoing
beginning 9-22-10).
Crop Circle of the Day - We continue to
monitor the markets for evidence of Quote Stuffing and Strange Sequences.
(ongoing beginning 7-12-10)
NProbe Utilities - A Glimpse at some of the
tools created and used by Nanex (available now) for the Flash Crash
Analysis.
Additional Reporting. - Reports from
other sources regarding our Flash Crash Analysis, including possible CFTC and
SEC actions and recommendations.
Inquiries: pr@nanex.net
| This report and all material shown on this
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for the purchase or sale of any securities or investments. The opinions
expressed herein are based on publicly available information and are considered
reliable. However, Nanex makes NO WARRANTIES OR REPRESENTATIONS OF ANY SORT
with respect to this report. Any person using this material does so solely at
their own risk and Nanex and/or its employees shall be under no liability
whatsoever in any respect thereof. |
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