EconPapers    
Economics at your fingertips  
 

Order aggressiveness and flash crashes

Khaladdin Rzayev and Gbenga Ibikunle

International Journal of Finance & Economics, 2021, vol. 26, issue 2, 2647-2673

Abstract: We present a novel framework illustrating the links between order aggressiveness and flash crashes. Our framework involves a trading sequence beginning with significant increases in aggressive sell orders relative to aggressive buy orders until instruments' prices fall to their lowest levels. Thereafter, a rise in aggressive buy orders propels prices back to their pre‐crash levels. Using a sample of S&P 500 stocks trading during the May 6, 2010, flash crash, we show that our framework is correctly specified and provide a basis for linking flash crashes to aggressive strategies, which are found to be more profitable during flash crashes.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1002/ijfe.1926

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2647-2673

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2022-01-04
Handle: RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2647-2673