Yen Surge Was ‘Mini’ Flash by Pound’s Standards: MarketFactory
2019-01-09 18:38:19.404 GMT
By Katherine Greifeld
(Bloomberg) — Last week’s abrupt rally in the yen was only a “mini” flash crash compared to sterling’s shock drop in 2016, according to Darren Jer at MarketFactory, whose software helps traders aggregate currency prices and manage risks from buying and selling on multiple venues.
Read the full article on the Bloomberg terminal by searching “Yen Surge was ‘Mini’ Flash by Pound’s Standards”
Data and analysis from MarketFactory:
- MarketFactory defines a flash crash as any price movement of 5 standard deviations or greater
- The yen flash crash on January 2 was a 5.1 standard deviation move so this was a “mini” flash-crash. By comparison, the sterling flash crash from October 2016 was a 50+ standard deviation move.
- A flash crash has three phases: 1) depreciation, 2) dysfunction and 3) recovery
- The depreciation phase lasted about 6 minutes (22:30:00 to 22:35:44) during the yen crash with the average bid at 108.307 and average offer at 108.377
- While it was only 15 seconds in the sterling crash
- The dysfunction phase lasted about 3 minutes (22:35:44 to 22:39:09) during the yen crash with the average bid at 105.92 and average offer at 106.63, while only 30 seconds during the GBP crash
- The Yen flash crash of Jan. 2 occurred during a Japanese holiday. Depending on the root cause, the flash event would either not have happened with all market participants at work trading, or could have been more severe.
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