Flash krach et trading haute-fréquence: Le rôle des algorithmes dans l'instabilité boursière

Lise Arena, Nathalie Oriol and Iryna Veryzhenko
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Iryna Veryzhenko: LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - CNAM - Conservatoire National des Arts et Métiers [CNAM]

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Abstract: This article seeks to answer the following research question: To what extent can IS uses developed by traders in high frequency trading practices explain the emergence of flash crashes on the financial market? The originality - but also the challenge - raised by this question outlines the need to cross two disciplinary fields which are often studied in isolation from each other: information systems management and finance. Built on realistic assumptions and observations of traders' strategies and IS uses (especially with the distinctions between 'fundamentalists' and 'chartists'), an agent-based approach is presented. Preliminary results could be expressed as follows: IS uses have increasingly modified traders beliefs and strategies which in turn contributed to increase markets instabilities via flash crashes phenomena.

Keywords: High frequency trading; IS use; Agent-based approach; Approche multi-agents; Trading haute fréquence; Flash crash; Usages des SI (search for similar items in EconPapers)
Date: 2014-05
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Published in XIXème conférence de l'AIM - Le Management à l'épreuve des Systèmes d'Information : Enjeux, défis et perspectives, May 2014, Aix-en-Provence, France. pp.1-27

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01066420

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