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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Main Authors: | MENKVELD, Albert J., YUESHEN, Bart Zhou |
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Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2019
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Subjects: | |
Online Access: | 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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Institution: | Singapore Management University |
Language: | English |
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