Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Flash crash and stub quote » ?

Aussi appelé : flash crash · stub quote

Definition 31.1 Markets I: The Ecosystem and Exchange-Traded Markets · Chapitre 31 — Stress Case Studies

A flash crash is a fall and recovery of prices, of a size normally seen over days, within minutes, without corresponding news. A stub quote is a quote at a price far from the market (a bid of a cent, an offer of $100 000), entered by or for a market maker to satisfy an obligation to quote continuously while not intending to trade.

A toy model of the mechanism, calibrated to nothing: a programme sells 9% of the last minute’s volume; depth shrinks, and intermediaries’ churn raises volume, when the price is below its recent average. With a fixed book the same 75 000 contracts cost 2.2%; with the two feedbacks 9.8%, of which 5.9 points in the last four minutes; a pause that lets buyers re-anchor stops the fall at 7.0%. The model has no recovery. Data: the tutorial’s simulation.
Figure 31.1. A toy model of the mechanism, calibrated to nothing: a programme sells 9% of the last minute’s volume; depth shrinks, and intermediaries’ churn raises volume, when the price is below its recent average. With a fixed book the same 75 000 contracts cost 2.2%; with the two feedbacks 9.8%, of which 5.9 points in the last four minutes; a pause that lets buyers re-anchor stops the fall at 7.0%. The model has no recovery. Data: the tutorial’s simulation.
Lire dans le chapitre →

Termes liés