Accession Number:

AD1107762

Title:

High Frequency Trading, Accident Investigation, and the 6 May 2010 Stock Market Flash Crash

Descriptive Note:

Technical Report

Corporate Author:

MITRE CORP MCLEAN VA MCLEAN

Personal Author(s):

Report Date:

2014-09-01

Pagination or Media Count:

15.0

Abstract:

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.

Subject Categories:

  • Administration and Management
  • Economics and Cost Analysis

Distribution Statement:

APPROVED FOR PUBLIC RELEASE