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Quantitative Finance · Glossaire

Qu'est-ce que « Flash rally » ?

Definition 4.9 Markets II: Rates, FX and Credit · Chapitre 4 — The Treasury Market

A flash rally is a large, fast rise in prices (fall in yields) that reverses within minutes without news to explain either move, the mirror image of a flash crash (One Quant Book 1, chapter 31).

The event window of 15 October 2014: the three yields and times reported by the regulators’ joint staff report, joined by straight lines (the path between them was not smooth), and the day’s close. Sixteen basis points down in six minutes, and back, in the benchmark of the dollar yield curve. Data: Joint Staff Report, 2015.
Figure 4.3. The event window of 15 October 2014: the three yields and times reported by the regulators’ joint staff report, joined by straight lines (the path between them was not smooth), and the day’s close. Sixteen basis points down in six minutes, and back, in the benchmark of the dollar yield curve. Data: Joint Staff Report, 2015.
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