Abstract

http://ssrn.com/abstract=2182097
 
 

References (27)



 
 

Citations (1)



 
 

Footnotes (14)



 


 



High Frequency Trading and Mini Flash Crashes


Anton Golub


Olsen Ltd.

John Keane


University of Manchester - School of Computer Science

Ser-Huang Poon


University of Manchester - Manchester Business School

November 28, 2012


Abstract:     
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.

Number of Pages in PDF File: 22

Keywords: Mini Flash Crash, Flash Crash, Liquidity, High Frequency Trading, Intermarket Sweep Order, ISO, Top of the Book Protection, Regulation National Market System

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Date posted: January 10, 2013  

Suggested Citation

Golub, Anton and Keane, John and Poon, Ser-Huang, High Frequency Trading and Mini Flash Crashes (November 28, 2012). Available at SSRN: http://ssrn.com/abstract=2182097 or http://dx.doi.org/10.2139/ssrn.2182097

Contact Information

Anton Golub (Contact Author)
Olsen Ltd. ( email )
Seefeldstrasse 233
Zurich, 8008
Switzerland
John Keane
University of Manchester - School of Computer Science ( email )
Manchester M13 9GH
United Kingdom
Ser-Huang Poon
University of Manchester - Manchester Business School ( email )
Crawford House
Oxford Road
Manchester, Manchester M13 9PL
United Kingdom
+44 161 275 4031 (Phone)
+44 161 275 4023 (Fax)
HOME PAGE: http://www.manchester.ac.uk/research/Ser-huang.poon/
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References:  27
Citations:  1
Footnotes:  14

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