The flash crash: A cautionary tale about highly fragmented markets
A breakdown of cross-market arbitrage activity could make markets more fragile and result in price crashes. We provide suggestive evidence for this novel channel based on a high-frequency analysis of the most salient crash in recent history: The Flash Crash. We further show that such an event can be...
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sg-smu-ink.lkcsb_research-82842023-10-13T09:26:30Z The flash crash: A cautionary tale about highly fragmented markets MENKVELD, Albert J. YUESHEN, Bart Zhou A breakdown of cross-market arbitrage activity could make markets more fragile and result in price crashes. We provide suggestive evidence for this novel channel based on a high-frequency analysis of the most salient crash in recent history: The Flash Crash. We further show that such an event can be extremely costly for a large seller trading in a particular venue as the seller effectively relies on local liquidity supply only. These findings highlight the vulnerability of today's highly fragmented markets. 2019-10-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/7285 info:doi/10.1287/mnsc.2018.3040 https://ink.library.smu.edu.sg/context/lkcsb_research/article/8284/viewcontent/FlashCrash_sv.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University flash crash large seller electronic market broken arbitrage Finance and Financial Management Portfolio and Security Analysis |
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flash crash large seller electronic market broken arbitrage Finance and Financial Management Portfolio and Security Analysis MENKVELD, Albert J. YUESHEN, Bart Zhou The flash crash: A cautionary tale about highly fragmented markets |
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A breakdown of cross-market arbitrage activity could make markets more fragile and result in price crashes. We provide suggestive evidence for this novel channel based on a high-frequency analysis of the most salient crash in recent history: The Flash Crash. We further show that such an event can be extremely costly for a large seller trading in a particular venue as the seller effectively relies on local liquidity supply only. These findings highlight the vulnerability of today's highly fragmented markets. |
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MENKVELD, Albert J. YUESHEN, Bart Zhou |
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MENKVELD, Albert J. YUESHEN, Bart Zhou |
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MENKVELD, Albert J. |
title |
The flash crash: A cautionary tale about highly fragmented markets |
title_short |
The flash crash: A cautionary tale about highly fragmented markets |
title_full |
The flash crash: A cautionary tale about highly fragmented markets |
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The flash crash: A cautionary tale about highly fragmented markets |
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The flash crash: A cautionary tale about highly fragmented markets |
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flash crash: a cautionary tale about highly fragmented markets |
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Institutional Knowledge at Singapore Management University |
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2019 |
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https://ink.library.smu.edu.sg/lkcsb_research/7285 https://ink.library.smu.edu.sg/context/lkcsb_research/article/8284/viewcontent/FlashCrash_sv.pdf |
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