Algorithmic trading and mini flash crashes: Evidence from Austria

Roland Mestel, Viktoria Steffen and Erik Theissen

Economics Letters, 2024, vol. 244, issue C

Abstract: We use stock-day level data on the market share of algorithmic trading to analyze whether algorithmic trading affects the frequency of mini flash crashes in the Austrian stock market. We use an instrumental variables approach and the Petrin and Train (2010) control function approach to address endogeneity concerns. We find no evidence that algorithmic trading significantly affects the probability of the occurrence of mini flash crashes.

Keywords: Mini flash crashes; Algorithmic trading (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:244:y:2024:i:c:s016517652400466x

DOI: 10.1016/j.econlet.2024.111982

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