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...
Saved in:
| Main Authors: | , |
|---|---|
| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2019
|
| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/7285 https://ink.library.smu.edu.sg/context/lkcsb_research/article/8284/viewcontent/FlashCrash_sv.pdf |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|