Broken Markets The Flash Crash推荐.pdfVIP

10 The Flash Crash Guest Chapter by R.T. Leuchtkafer Introduction by Sal and Joe: It was May 6, 2010. We had just finished yet another earnings season, where publicly traded corpora - tions release their quarterly reports, and investors adjust their valua- tion expectations and trade accordingly.Wall Street had quieted down and shifted its focus to worldwide macro events. Greece’s economic problems were front and center. CNBC was showing footage of civil- ians rioting in Athens. The market was sharply lower, but it was quiet at Themis.Sal went home early to mow the lawn. At 2:45 p.m., he received a frantic call. “Get back in here, farmer boy,” Joe said. “The market is crazy.” Sal shut down the mower and jumped in his truck. Five minutes later he walked into the office. “Grab my orders and man the phones,” Joe ordered. “I’m on the line with Bloomberg.” The rest of the afternoon was a blur. Joe described the crazy volatility going on to Carol Massar and Matt Miller live on Bloomberg TV. Rumors rang- ing from terrorist acts to a “fat finger” errant basket trade by a major brokerage firm made the rounds. The Street desperately tried to get to the bottom of how and why the market could drop 700 points and rebound within minutes. Sal and Joe saw May 6, 2010, which came to be known as the Flash Crash, as the poster child for the nation’s broken market structure. That evening Joe went on CNBC to explain how HFT trading strate- gies created liquidity vacuums.1 Sal examined the data and wrote a 151 152 Broken Markets post mortem for Themis clients.2 The weeks that followed were frantic as well. We spent a lot of time with financial journalists and academics explaining what we thought had happened and why it was a market structural pr