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Exchange-Traded Funds, Market Structure and the Flash Crash
7 references·11 citing·55 second hop
Exchange-Traded Funds, Market Structure and the Flash Crash (2011)Exchange-Traded Funds, Market Structure a…The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading (2019)The Microstructure of the ‘Fl…The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequen…Is market fragmentation harming market quality? (2011)Is market fragmentation harmi…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Automation, speed, and stock market quality: The NYSE's Hybrid (2011)Automation, speed, and stock …On the Economic Consequences of Index-Linked Investing (2010)On the Economic Consequences …High-Frequency Trading, Stock Volatility, and Price Discovery (2010)High-Frequency Trading, Stock…The Efficient Market Hypothesis, the Financial Analysts Journal , and the Professional Status of Investment Management (2020)The Efficient Market Hypothes…Implications of High-Frequency Trading for Security Markets (2018)Implications of High-Frequenc…Multiple markets, algorithmic trading, and market liquidity (2016)Multiple markets, algorithmic…A survey of network-based analysis and systemic risk measurement (2016)A survey of network-based ana…The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market (2015)The Effect of Fragmentation i…VPIN and the Flash Crash: A rejoinder (2013)VPIN and the Flash Crash: A r…Latency arbitrage, market fragmentation, and efficiency (2013)Latency arbitrage, market fra…Latency arbitrage, market fragmentation, and efficiency (2013)Latency arbitrage, market fra…Are Leveraged and Inverse ETFs the New Portfolio Insurers? (2013)Are Leveraged and Inverse ETF…Algorithmic trading, the Flash Crash, and coordinated circuit breakers (2013)Algorithmic trading, the Flas…From PIN to VPIN: An introduction to order flow toxicity (2012)From PIN to VPIN: An introduc…The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Facts and Fantasies about Commodity Futures Ten Years Later (2015)International asset allocations and capital flows: The benchmark effect (2017)On index investing (2022)Discrete-Event System Simulation (1984)Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality (1993)The economy needs agent-based modelling (2009)Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays (2017)How rigged are stock markets? Evidence from microsecond timestamps (2019)Get real (2020)Price, trade size, and information in securities markets (1987)Illiquidity and stock returns: cross-section and time-series effects (2002)Is Information Risk a Determinant of Asset Returns? (2002)Bulk Classification of Trading Activity (2012)Reflecting on the VPIN Dispute (2013)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Low-Latency Trading (2011)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)High-Frequency Trading and Price Discovery (2014)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Liquidity Risk and Expected Stock Returns (2003)The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading (2011)Limit order books (2013)News Trading and Speed (2015)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Coherent Measures of Risk (1999)“Too central to fail” systemic risk measure using PageRank algorithm (2019)Asset allocation: new evidence through network approaches (2019)Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach (2022)An Empirical Evaluation of Accounting Income Numbers (1968)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)The Influence of Institutional Investors on Myopic R&D Investment Behavior (1998)Exchange-Traded Funds, Market Structure, and the Flash Crash (2012)Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs (2016)Fast and slow informed trading (2019)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Latency, Liquidity and Price Discovery (2011)Liquidity Cycles and Make/Take Fees in Electronic Markets (2012)Need for Speed? Exchange Latency and Liquidity (2017)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The economics of networks (1996)Market microstructure: A survey (2000)Do Dark Pools Harm Price Discovery? (2013)Equilibrium fast trading (2015)High frequency market microstructure (2015)Fact or Friction: Jumps at Ultra High Frequency (2011)An ecological perspective on the future of computer trading (2013)VPIN and the flash crash (2013)
this work references cited by second hop

References

  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2011Is market fragmentation harming market quality?578 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market388 cited
  • 2011Automation, speed, and stock market quality: The NYSE's Hybrid281 cited
  • 2010High-Frequency Trading, Stock Volatility, and Price Discovery219 cited
  • 2010On the Economic Consequences of Index-Linked Investing135 cited
  • 2019The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading110 cited

Cited by

  • 2016A survey of network-based analysis and systemic risk measurement62 cited
  • 2012From PIN to VPIN: An introduction to order flow toxicity60 cited
  • 2013Latency arbitrage, market fragmentation, and efficiency56 cited
  • 2016Multiple markets, algorithmic trading, and market liquidity46 cited
  • 2020The Efficient Market Hypothesis, the Financial Analysts Journal , and the Professional Status of Investment Management43 cited
  • 2015The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market36 cited
  • 2013Latency arbitrage, market fragmentation, and efficiency33 cited
  • 2013

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VPIN and the Flash Crash: A rejoinder
32 cited
  • 2013Algorithmic trading, the Flash Crash, and coordinated circuit breakers31 cited
  • 2013Are Leveraged and Inverse ETFs the New Portfolio Insurers?29 cited
  • 2018Implications of High-Frequency Trading for Security Markets28 cited