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Alternative Market Briefing

Post-Sandy trading data reveals wealth of micro flashes

Wednesday, November 07, 2012

Beverly Chandler, Opalesque London: A study from market data research firm Nanex revealed that Wednesday 31st October’s market reopening in the US post-Storm Sandy was marked by unexplained price swings and 'quote spamming’.

Reported in both Fortune and on Business Insider, Nanex’s findings revealed 221 instances in which individual stocks briefly spiked or plunged for no obvious reason. Stephen Gandel from Fortune writes: "So-called micro flash crashes have been rising for a while - micro because they affect only one stock rather than the whole market - even on normal days. They are usually caused by a mismatch of buyers and sellers. They usually number less than 50."

Disconcertingly, when the US markets reopened on Wednesday for the first time since the initial impact of Storm Sandy, the market appeared calm. It remained virtually flat despite having been closed for the longest weather related cause since 1888 as reported in Opalesque, despite the physical issues of no power, transport and other limits to infrastructure. Some observers had not expected this, as ......................

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