Flash crash prices so unreliable that 27 percent of trades required cancellation

Evidence

Some individual share prices dropped to mere pennies in price, forcing the various exchanges to impose “broken” or canceled trades on something like 27 percent of all transactions. Then many prices immediately recovered, although not all the way to previous levels. Incredulity toward the validity of registered prices struck at the heart of the economists’ pretences to expertise. Such behavior belied all bedrock neoliberal claims of the efficacy of the marketplace in converting information into valid prices. — Philip Mirowski, Never Let a Serious Crisis Go to Waste, 547

Categorization

• QUESTION: Worth chasing: was 27 percent cancellation figure ever replicated in subsequent crashes, and what explains the recovery shortfall?
• XREF: connects to: Economists still cannot explain the causes of flash crashes — Philip Mirowski, Never Let a Serious Crisis Go to Waste, 547; Accelerated algorithmic trading causes recurrent flash crashes beyond any regulator’s mastery — Hartmut Rosa, Social Acceleration: A New Theory of…, 15

Broader Connections

• Economists still cannot explain the causes of flash crashes #qualifies (0.75) — Philip Mirowski, Never Let a Serious Crisis Go to Waste, 547