Aggiornamenti sul flash crash del 6 maggio

Ecco alcuni link con aggiornamenti e analisi sul flash crash del 6 maggio scorso:

• Qui potete scaricare il rapporto preliminare della SEC sul flash crash del 6 maggio.
• In questo post si analizza la caduta dei principali indici, individuando nel Nasdaq 100 un possibile motore del crash. Siccome Apple contribuisce per il 19%all'indice l'autore provocatoriamente si chiede Was the flash crash Apple's fault? Non prendetelo pero' troppo sul serio !
• Ecco un blog dedicato all'analisi dell'HFT: flashcrash.org !
• Su The Swapper trovate la testimonianza di un high frequency trader mentre il crash si consumava davanti ai suoi occhi. La tesi  di Manoj Narang e' decisamente originale... l'intervento umano ha peggiorato le cose: human intervention exacerbated the crisis. First of all, I will just reiterate that this crisis was precipitated by panic selling by humans. The reason why this happened was because was the market was in particular vulnerable state on May 6th. We just had had a huge run-up in the equities markets, we were in the midst of a 10% correction, even before the mayhem unfolded, and on top of that you had very vexing news coming out of Europe, lots of images on CNBC, people rioting in the streets in Greece, the prospects of the second phase of the crisis unfolding. In that sort of an environment, people tend to seed the markets with stop orders. That’s what happened in 1987, that’s what happened this time around. So, the market was ripe for a catastrophic event, because it was so saturated with stop orders, all it needed was a catalyst. And the catalyst occurred, according to a couple of Reuters reporters, because a large mutual fund complex, decided to do a $4.5B hedging transaction in e-mini futures contracts, which track the S&P 500 index, when the market was already in that vulnerable state.
• Un altro post interessante su The Swapper: Should certain algorithmic trading strategies be banned?