Morgan Stanley has theory on real flash crash
From Bloomberg, Feb 25, 2016, 4:00:01 PM
Feb. 26 — JPMorgan Chase & Co. analysts have released a new theory on the “flash rally” in U.S. Treasuries that offers a new way of looking at current markets. Bloomberg’s Alexandra Scaggs reports on “Bloomberg Markets.”
Some 16 months after the “flash rally” in U.S. Treasuries blindsided Wall Street traders, little about what exactly went wrong has been resolved. The most common, albeit tenuous, explanation is that the futures market seized up that morning, creating a spillover effect into cash bonds that led to a frenetic 12-minute spike in prices.
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