I think the author underestimates the problem of finding an explanation out of the mess of data that's available. It's possible there could never be a simple explanation of what caused the sell-off. It could just be that 1) we need more measures in place to reduce this kind of volatility, 2) we need less protective measures and let market corrections happen on their own, or 3) accept that this can happen and handle the next event the same way this one was handled.
I've read some articles suggesting that the drop was more dramatic because automated trading systems were taken offline. I've read that the drop was more dramatic because some stocks are sold on multiple markets with different emergency stop conditions.
I second the notion that making sense of the data is extremely complicated (assuming that your answer is not just "there were more sellers than buyers").
First, the amount of data is extremely large. See the BATS connectivity manual, page 8. They require a MINIMUM connectivity speed of 1Gbps PER FEED. Page 9 shows that the peak rates are higher than this. Note that this is only one exchange of many.
http://batstrading.com/resources/membership/BATS_Connectivit...
Second, even if you could make sense of all the data, there's people on the outside creating the data. A full model of what happened would require knowing what is going through their minds.
Comments
I think the author underestimates the problem of finding an explanation out of the mess of data that's available. It's possible there could never be a simple explanation of what caused the sell-off. It could just be that 1) we need more measures in place to reduce this kind of volatility, 2) we need less protective measures and let market corrections happen on their own, or 3) accept that this can happen and handle the next event the same way this one was handled.
I've read some articles suggesting that the drop was more dramatic because automated trading systems were taken offline. I've read that the drop was more dramatic because some stocks are sold on multiple markets with different emergency stop conditions.
I second the notion that making sense of the data is extremely complicated (assuming that your answer is not just "there were more sellers than buyers").
First, the amount of data is extremely large. See the BATS connectivity manual, page 8. They require a MINIMUM connectivity speed of 1Gbps PER FEED. Page 9 shows that the peak rates are higher than this. Note that this is only one exchange of many. http://batstrading.com/resources/membership/BATS_Connectivit...
Second, even if you could make sense of all the data, there's people on the outside creating the data. A full model of what happened would require knowing what is going through their minds.