Search Results - subject:"flash crash"

Collective synchronization and high frequency systemic instabilities in financial markets

Calcagnile, Lucio Maria; Bormetti, Giacomo; Treccani, … - In: Quantitative finance 18 (2018) 2, pp. 237-247

Persistent link: https://www.econbiz.de/10011905911

Flash crash and policy uncertainty

Tsai, I-Chun - In: Journal of international financial markets, … 57 (2018), pp. 248-260

Persistent link: https://www.econbiz.de/10012127632

Automation, intermediation and the Flash Crash

Kirilenko, Andrei; Kyle, Albert S.; Samadi, Mehrdad; … - In: Journal of investment management : JOIM 16 (2018) 4, pp. 17-28

Persistent link: https://www.econbiz.de/10011961003

Mini-flash crashes, model risk, and optimal execution

Bayraktar, Erhan; Munk, Alexander - In: Market microstructure and liquidity 4 (2018) 1/2, pp. 1-44

Persistent link: https://www.econbiz.de/10012256386

Circuit Breakers and Market Runs

Draus, Sarah; Achter, Mark van - Centro Studi di Economia e Finanza (CSEF) - 2012

This paper analyzes whether the application of a “circuit breaker” to a financial market (i.e. a mechanism that interrupts trading for a predetermined period when the price moves beyond a predetermined level) reaches its intended goals of increased market stability and overall welfare. Our...

Persistent link: https://www.econbiz.de/10010800993

ETFs, arbitrage, and contagion

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2012 - March 2012

between the futures market and the equity market during the Flash Crash on May 6, 2010. Overall, our results suggest that … arbitrage activity may induce contagion. Flash Crash ; contagion ; ETF ; stocks ; arbitrage ; mispricing ; overvaluation …

Persistent link: https://www.econbiz.de/10009554748

Essays on Empirical Market Microstructure

Tuzun, Tugkan - 2011

The first essay examines the events of May 6, 2010: the ``Flash Crash". The Flash Crash, a brief period of extreme … may have triggered the Flash Crash? What role did HFTs play in the Flash Crash? There is evidence which supports that HFTs … did not trigger the Flash Crash, but their responses to the unusually large selling pressure on that day exacerbated …

Persistent link: https://www.econbiz.de/10009450674

VPIN and the Flash Crash

Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2011

Easley, Lopez de Prado and O'Hara introduce VPIN as a real-time indicator of order flow toxicity. They find it useful for monitoring order fl ow imbalances and signaling impending market turmoil, exemplified by the ash crash. They also deem VPIN a good forecaster of short-term volatility. In...

Persistent link: https://www.econbiz.de/10009644870

The canonical econophysics approach to the flash crash of May 6, 2010

Mazzeu, Joao; Otuki, Thiago; Da Silva, Sergio - Volkswirtschaftliche Fakultät, … - 2011

We carry out a statistical physics analysis of the flash crash of May 6, 2010 using data from the Dow Jones Industrial … there is non-Gaussian scaling and thus that the flash crash cannot be considered an anomaly. From the study of tails, we … find that the flash crash followed a power-law pattern outside the Levy regime, which was not the inverse cubic law …

Persistent link: https://www.econbiz.de/10008855553

A log-periodic fit for the flash crash of May 6, 2010

Matsushita, Raul; Silva, Sergio Da - In: Economics Bulletin 31 (2011) 2, pp. 1772-1779

We show that a two-harmonic log-periodic formula fits the high-frequency data from the Dow Jones Industrial Average index, which encompass the recent episode known as the â€œflash crashâ€ of May 6, 2010.

Persistent link: https://www.econbiz.de/10009147370