Would Position Limits Have Made any Difference to the 'Flash Crash' on May 6, 2010

• Main Authors: LEE, Wing Bernard, CHENG, Shih-Fen, KOH, Annie
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2010
• Subjects: 6 May 2010; Flash Crash; Liquidity Withdrawal; Extreme Market Movements; Agent-based Simulation; Speculative Activities; Position Limits; Finance and Financial Management; Numerical Analysis and Scientific Computing; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/sis_research/1333; https://ink.library.smu.edu.sg/context/sis_research/article/2332/viewcontent/FlashCrash6May_2011.pdf
• Institution: Singapore Management University

On May 6, 2010, the US equity markets experienced a brief but highly unusual drop in prices across a number of stocks and indices. The Dow Jones Industrial Average (DJIA) fell by approximately 9% in a matter of minutes, and several stocks were traded down sharply before recovering a short time later...