Data spikes pose problems for risk management

simon-garland

Traders were stunned on May 6 when the Dow Jones Industrial Average fell by nearly 1,000 points before rebounding – its biggest intra-day loss since 1987. This price action was accompanied by a surge in the number of trades and quotes on the New York Stock Exchange (NYSE) – close to 1.2 billion were recorded, compared with a daily average of between 400 million and 600 million. Regulators and academics are now trying to work out exactly why the Dow moved so far so fast. Blame was