Complete Text   I. Causes   II. Effects   III. Further Research   IV. Recommendations  

The top chart shows the Dow Jones Industrial Average (DJI) disseminated by Dow Jones (Blue), the theoretical value (Green) calculated from the component stock trades as received from CTS (Consolidated Trade System) , and the prices of the CBOT Dow Jones futures contract traded as symbol YM.M10 (Red). The bottom chart shows the premium of the futures contract versus the theoretical index, which is simply the difference between those two prices.

There were 2 significant delays in the dissemination of the DJI during the Flash Crash. The first delay (readily seen from the sudden drop and jump in the lower chart) was due to delays in the CTS datafeed supplying the prices of the component stocks. Some stocks were delayed up to 24 seconds during the crash. The 2nd delay (offset between the green and blue lines), which was the larger of the two, appears to originate from the system used to calculated the index at Dow Jones.  

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