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 initially put

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: