High frequency trading and mini flash crashes

Arbeitspapier

We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market fragmentation, in particular due to the aggressive use of Intermarket Sweep Orders and Regulation NMS protecting only Top of the Book. We find strong evidence that Mini Flash Crashes have an adverse impact on market liquidity and are associated with Fleeting Liquidity.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Manchester Business School Working Paper ; No. 633

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: Mini Flash Crash ; Flash Crash ; Liquidity ; High Frequency Trading ; Intermarket Sweep Order ; Top of the Book Protection ; Regulation National Market System

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Golub, Anton ; Keane, John ; Poon, Ser Huang
• Ereignis: Veröffentlichung
• (wer): The University of Manchester, Manchester Business School
• (wo): Manchester
• (wann): 2012

Weitere Informationen

• Handle: http://hdl.handle.net/10419/114466
• Letzte Aktualisierung: 20.09.2024, 08:22 MESZ