Thursday, October 1, 2015

Mega Crash Casino Liquidity

Low liquidity is a necessary and sufficient condition for a mega-crash. Low liquidity preceded both Flash Crashes







Liquidity comparison: Then and now:

2010 
Black line shows the current trading day's level of liquidity. Colors show historical peak liquidity colored by day of week. Time of day is on lower scale 'x' axis:

Day of Flash Crash:


Several months post Flash Crash. Liquidity had recovered:


Now: Sept. 23rd, 2015: