High Frequency Trading, Accident Investigation, and the 6 May 2010 Stock Market Flash Crash
MITRE CORP MCLEAN VA MCLEAN
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This paper describes a novel application of a system-based accident investigation method to the understanding of a complex financial system incident. STAMP Systems Theoretic Accident Models and Processes is used to model aspects of the flash crash of May 6th 2010. STAMP was applied to the E-Mini S and P 500 E-Mini, a stock market index futures contract traded on the Chicago Mercantile Exchanges CME Globex electronic trading platform. The application of the STAMP method made it clear the E-Mini market lacked the level of control necessary for the market to be defined as a controlled process.
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