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May 6'th 2010 Flash Crash Analysis
Continuing Developments - Stub Quoting Did Not Cause The Flash Crash

Publication Date: 09-08-2010

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As we reported in Part 5, Flash Crash Myths, pure Stub Quoting in itself did not cause the Flash Crash (pure stub quotes are quotes that have a price near 0.01). While it contributed and brought the price of some stocks to 0.01, actual trading on stub quotes did not begin to execute until the crash was already over.

We decided to revisit the stub quotes issue and determine exactly when and were trades were actually made and the dollar value lost. The following chart shows this analysis:

  1. To get the dollar value, we take the price drop of a trade executing at a stub quote and multiply it by the total volume for that stock for the day

  2. We then sum values for all symbols for each second.

Publication Date: 09-08-2010

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