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Exchange-Traded Funds, Market Structure and the Flash Crash · Study

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PreprintExchange-Traded Funds, Market Structure and the Flash Crash

Ananth Madhavan2011

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Preprintgreen2011

Exchange-Traded Funds, Market Structure and the Flash Crash

Ananth Madhavan

63 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

2011Does Algorithmic Trading Improve Liquidity?2011Is market fragmentation harming market quality?2011The Flash Crash: High-Frequency Trading in an Electronic Market 2011Automation, speed, and stock market quality: The NYSE's Hybrid 2010High-Frequency Trading, Stock Volatility, and Price Discovery 2010On the Economic Consequences of Index-Linked Investing 2019The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading

Cited by

2016A survey of network-based analysis and systemic risk measurement 2012From PIN to VPIN: An introduction to order flow toxicity 2013Latency arbitrage, market fragmentation, and efficiency 2016Multiple markets, algorithmic trading, and market liquidity 2020The Efficient Market Hypothesis, the Financial Analysts Journal , and the Professional Status of Investment Management 2015The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2012Exchange-Traded Funds, Market Structure, and the Flash Crasharticle · 5 shared references 2012A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETSarticle · 4 shared references 2013An ecological perspective on the future of computer tradingarticle · 4 shared references 2012A taxonomy of the 'dark side' of financial innovation: the cases of high frequency trading and exchange traded fundsarticle · 4 shared references 2015Market Fairness: The Poor Country Cousin of Market Efficiencyarticle · 4 shared references 2012The Impacts of Automation and High Frequency Trading on Market Qualityreview · 4 shared references

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations63

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1932925

openalex_workW2129387003

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2013

Latency arbitrage, market fragmentation, and efficiency

2013VPIN and the Flash Crash: A rejoinder