High Frequency Trading and Mini Flash Crashes

Anton Golub, John Keane and Ser-Huang Poon

Papers from arXiv.org

Abstract: We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market fragmentation, in particular due to the aggressive use of Intermarket Sweep Orders and Regulation NMS protecting only Top of the Book. We find strong evidence that Mini Flash Crashes have an adverse impact on market liquidity and are associated with Fleeting Liquidity.

Date: 2012-11
New Economics Papers: this item is included in nep-mst
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