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1、10TheFlashCrashGuestChapterbyR.T.LeuchtkaferIntroductionbySalandJoe:ItwasMay6,2010.Wehadjustfinishedyetanotherearningsseason,wherepubliclytradedcorpora-tionsreleasetheirquarterlyreports,andinvestorsadjusttheirvalua-tionexpectationsandtradeaccordingly
2、.WallStreethadquieteddownandshifteditsfocustoworldwidemacroevents.Greece’seconomicproblemswerefrontandcenter.CNBCwasshowingfootageofcivil-iansriotinginAthens.Themarketwassharplylower,butitwasquietatThemis.Salwenthomeearlytomowthelawn.At2:45p.m.,herec
3、eivedafranticcall.“Getbackinhere,farmerboy,”Joesaid.“Themarketiscrazy.”Salshutdownthemowerandjumpedinhistruck.Fiveminuteslaterhewalkedintotheoffice.“Grabmyordersandmanthephones,”Joeordered.“I’monthelinewithBloomberg.”Therestoftheafternoonwasablur.Joe
4、describedthecrazyvolatilitygoingontoCarolMassarandMattMillerliveonBloombergTV.Rumorsrang-ingfromterroristactstoa“fatfinger”errantbaskettradebyamajorbrokeragefirmmadetherounds.TheStreetdesperatelytriedtogettothebottomofhowandwhythemarketcoulddrop700po
5、intsandreboundwithinminutes.SalandJoesawMay6,2010,whichcametobeknownastheFlashCrash,astheposterchildforthenation’sbrokenmarketstructure.ThateveningJoewentonCNBCtoexplainhowHFTtradingstrate-giescreatedliquidityvacuums.1Salexaminedthedataandwrotea15115
6、2BrokenMarketspostmortemforThemisclients.2Theweeksthatfollowedwerefranticaswell.Wespentalotoftimewithfinancialjournalistsandacademicsexplainingwhatwethoughthadhappenedandwhyitwasamarketstructuralproblem.Wewerenotalone,whichbringsustoR.T.Leuchtkafer.H
7、ewrotethischapterandthenext.Together,theyrepresentthemostthoroughandunderstandableaccountingofthefailuresofthatdaythatwehaveseen.WestartedcommunicatingwithLeuchtkaferamonthbeforetheFlashCrash.Hehaswrittennumerouseditorialsinfinancialpublications,such
8、asTheFinancialTimesTradingRoomonFT.com,thathavebeencriticalofthedarkereffectsofHFToninves-tors.HehasalsopennedmanyexcellentcommentletterstotheSEC,allpubliclyavailable,includinghisApril16,2010letterontheSEC’sConceptReleaseonEquityMarketStructure.3Heis
