Irwin Speizer, contributing writer, AR: Absolute Return +
The so-called 'flash crash' in May 2010, that seemed to catch
the investment world by surprise with its dizzying market
plunge, was not quite so surprising to a pair of Cornell
University professors and a futures trader from Tudor
Investment Corp. The trio had been testing a new
market-liquidity tracking system they developed, and it spotted
erratic trading patterns more than an hour before the crash
The team's system hit its highest liquidity imbalance level
ever on the morning of 6 May, just before the Dow Jones average
dived nearly 1,000 points in a few minutes, then sprang back to
erase much of the loss by the end of the day.
Regulators and investors, both in the US and Europe, have
been trying to come to...