AnalyticBridge competition: investigate the spectacular stock market collapse of May 6, 2010
Date: May 16, 2010
This is the largest one-day drop in history, and it is known as
the flash crash. In 6 minutes Dow lost 600 points then recovered. The
difference between high and low on May 6 was about 1,000 points, and Dow
went below 10,000. Is it a technical glitch, foul play or natural
cause?
To investigate this massive collapse, you are asked to:
- download publicly available daily stock prices (volume, open, low,
high, close) for all stocks that are listed on the NYSE or Nasdaq (you
can get the data from Yahoo Finance and download it using a
web robot - there is about a few thousand stocks)
- is the collapse evenly spread among all stocks? Any abnormality? What
would the worse drop (for an individual stock) be if the average is 10%,
given the number of stocks in NYSE or Nasdaq?
- see also
this posting.
Prize:
- The winner will be featured as our
Member of the Month in August 2010 ($250 award)
- An additional $750 prize is offered
- The winner will be invited to become a member of
AnalyticBridge's Executive Club and will receive our
certification (none can be purchased)
- This represents a terrific career boost as we will make public
announcements, press releases, etc.
Deadline
Email your detailed analysis to
Dr. Vincent Granville at
vlg@datashaping.com by August
15, 2010. Messages larger than 2MB will not be accepted.
The subject line
should be AnalyticBridge Competition 2010.
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