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

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 Exchange's (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.

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Document Details

Document Type
Technical Report
Publication Date
Sep 01, 2014
Accession Number
AD1107762

Entities

People

  • Gary Vecellio

Organizations

  • MITRE Corporation

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Accident Investigations
  • Accidents
  • Circuit Breakers
  • Contracts
  • Control Theory
  • Corporations
  • Engineering
  • Frequency
  • Inventory
  • Platforms
  • Quality Control
  • Risk
  • Safety
  • Security
  • Standards
  • System Safety
  • Systems Engineering

Readers

  • Ballistic Missile Meteorology
  • Industrial Economics
  • Theoretical Analysis.

Technology Areas

  • Microelectronics