Nanex ~ 19-Oct-2012 ~ Wild Price Spikes
Recent Nanex Interviews:
Our NxCore feed
includes a real-time trade price filter that uses statistics to flag price moves that
fall outside of a standard deviation. Below is a chart showing the daily counts
for all NMS stocks of prices that exceeding NxCore filter level 6. Filter levels range from
2 (lowest) to 7 (highest). Stock prices flagged
at these levels are almost always canceled or corrected by the exchange later in the
trading session. The chart below indicates that wild price spikes
are happening with greater frequency and magnitude. The highest peak on the right side
of the chart is from the October 9, 2012
1. Daily Count of NMS Stocks with Prices Exceeding NxCore Filter Level 6 Since
the Flash Crash.
The Flash Crash had 1,361 of these events, which would skew the scale.