Many buy-side traders tell tales of strange market anomalies that they encounter almost daily. But the mother-of-all-market-anomalies has to be the flash crash of May 6, 2010.
Courtesy of Panopticon and Sybase, I have a movie of what may be the weirdest minutes in market history. We all know that the DJIA dropped a kilopoint and came back within minutes starting at 2:42pm.
At an individual stock level, it was even stranger. Accenture (ACN) traded at $40 and at one cent within seconds. Some stocks actually went up. Some saw multiples of normal volume, but went nowhere.
I've used an animated visualization that shows the S&P500 at an individual stock level in a number of recent taks, and by popular demand, I'm putting it up here. Here's a still frame from the beginning.
The narrator, Peter Simpson of Panopticon, explains how the Aleri Complex Event Processing system was used to generate the animation. Each S&P500 srock is represented by a circle. The size shows market capitalization, and the color shows the sector.
Trading activity is seen as the circles move on the chart. Price changes are on the vertical axis. EXC, shown above, has dropped 60% in this frame. Relative volume is shown on the horizontal axis. Note that FIS has seen 500% of average volume, but not dropped at all in price.
For the movie version of these weird few minutes, Download Panopt-Flash-Short-4-3.
For the IMAX version, put your nose up to the screen and click in the same place. At just over a minute, this movie is slightly faster than real-time.
It is useful for me.
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