Bryce Elder writing at FT Alphaville:
That Citi flash crash revisited
On Monday morning, with volumes thinned by the UK’s bank holiday, Citigroup briefly crashed the European market. Nearly two trading days later, we’re still struggling to figure out how.
Citi has placed the blame on one unfortunate in its London office, saying a unidentified trader “made an error when inputting a transaction”. As excuses go, its sounds plausible. With the London Stock Exchange closed, volumes across European bourses were less than half the normal level. It wouldn’t take much to set off an algorithmic chain effect, particularly among the backwater Nordic markets.
Our colleagues Joshua Franklin and Philip Stafford report:One trader said the basket was for trades on the Euro Stoxx 50 — an index that tracks blue-chip companies in the eurozone. The issue was further compounded by an error in a conversion to Swedish krona, which meant Stockholm-listed shares bore the brunt of the mistake.The gossip on Monday involved a basket valued at about $350m. Immediately, that sounds wrong....
....MUCH MORE
