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The Microstructure of the Flash Crash (paper)

“The ‘flash crash’ of May 6th 2010 was the second largest point swing (1,010.14 points) and the biggest one-day point decline (998.5 points) in the history of the Dow Jones Industrial Average. For a few minutes, $1 trillion in market value vanished. In this paper, we argue that the ‘flash crash’ is the result of the new dynamics at play in the current market structure…”

 

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  5. Crashes and High Frequency Trading (paper)
March 16, 2012 Papers Short URL