Search Results - subject:"flash crashes"

Do designated market makers provide liquidity during a flash crash?

Bellia, Mario; Christensen, Kim; Kolokolov, Aleksey; … - 2022

We show that (electronic) designated market makers are not necessarily beneficial to the stock market during ash crashes. They actually consume liquidity when it is most needed, even if they are rewarded by the exchange to provide immediacy. This behavior exacerbates the transient price impact,...

Persistent link: https://www.econbiz.de/10013549649

Do designated market makers provide liquidity during a flash crash?

Bellia, Mario; Christensen, Kim; Kolokolov, Aleksey; … - 2022

Persistent link: https://www.econbiz.de/10013545958

Gamma fragility

Barbon, Andrea; Buraschi, Andrea - 2020 - This version: 5 November 2020

We build on a growing literature that studies the impact of market frictions on the dynamics of stock markets, such as momentum, price spirals, excess volatility, and investigate the potential feedback effects of delta-hedging in derivative markets on the underlying market. We document a link...

Persistent link: https://www.econbiz.de/10012387248

High-frequency trading during flash crashes : walk of fame or hall of shame?

Bellia, Mario; Christensen, Kim; Kolokolov, Aleksey; … - 2020

We show that High Frequency Traders (HFTs) are not beneficial to the stock market during flash crashes. They actually …

Persistent link: https://www.econbiz.de/10012181452

Market stability vs. market resilience: Regulatory policies experiments in an agent based model with low- and high-frequency trading

Jacob Leal, Sandrine; Napoletano, Mauro - 2016

agent-based model of a limit order book able to generate flash crashes as the result of the interactions between low- and … duration of flash crashes. In the model, low-frequency agents adopt trading rules based on chronological time and can switch … volatility and the frequency of flash crashes. However, these policies also imply a longer duration of flash crashes. Furthermore …

Persistent link: https://www.econbiz.de/10011789718

Market stability vs. market resilience : regulatory policies experiments in an agent-based model with low- and high-frequency trading

Leal, Sandrine Jacob; Napoletano, Mauro - 2016

Persistent link: https://www.econbiz.de/10011644118

Market stability vs. market resilience : regulatory policies experiments in an agent based model with low- and high-frequency trading

Jacob Leal, Sandrine; Napoletano, Mauro - 2016

Persistent link: https://www.econbiz.de/10011457384

Rock around the clock: an agent-based model of low- and high-frequency trading

Leal, Sandrine Jacob; Napoletano, Mauro; Roventini, Andrea - 2014

flash crashes. The emergence of flash crashes is explained by two salient characteristics of high-frequency traders, i … find that higher rates of order cancellation by high-frequency traders increase the incidence of flash crashes but reduce … dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash …

Persistent link: https://www.econbiz.de/10011335909

Why Not Use Robots to Stabilize Stock Markets?

Da Silva, Sergio - Volkswirtschaftliche Fakultät, … - 2014

Why not set up some public-service robot traders to counteract the behavior of traders when it snowballs into extreme moves? I show a blueprint of how this can be accomplished taking advantage of the theory of complex systems.

Persistent link: https://www.econbiz.de/10011108775

Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading

Leal, Sandrine Jacob; Napoletano, Mauro; Roventini, Andrea - Laboratory of Economics and Management (LEM), Scuola … - 2014

Persistent link: https://www.econbiz.de/10010738349