Would price limits have made any difference to the 'Flash Crash' on May 6, 2010

• Main Authors: LEE, Wing Bernard, CHENG, Shih-Fen, KOH, Annie
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2011
• 主題: Multi-agent decision making; Uncertainty; Artificial Intelligence and Robotics; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/sis_research/1392; https://ink.library.smu.edu.sg/context/sis_research/article/2391/viewcontent/SSRN_id1701078.pdf

On May 6, 2010, the U.S. equity markets experienced a brief but highly unusual drop in prices across a number of stocks and indices. The Dow Jones Industrial Average (see Figure 1) fell by approximately 9% in a matter of minutes, and several stocks were traded down sharply before recovering a short...