Rzayev, Khaladdin and Ibikunle, Gbenga (2021) Order aggressiveness and flash crashes. International Journal of Finance and Economics, 26 (2). 2647 - 2673. ISSN 1076-9307
Full text not available from this repository.Abstract
We present a novel framework illustrating the links between order aggressiveness and flash crashes. Our framework involves a trading sequence beginning with significant increases in aggressive sell orders relative to aggressive buy orders until instruments' prices fall to their lowest levels. Thereafter, a rise in aggressive buy orders propels prices back to their pre-crash levels. Using a sample of S&P 500 stocks trading during the May 6, 2010, flash crash, we show that our framework is correctly specified and provide a basis for linking flash crashes to aggressive strategies, which are found to be more profitable during flash crashes.
| Item Type: | Article |
|---|---|
| Official URL: | https://onlinelibrary.wiley.com/journal/10991158 |
| Additional Information: | © 2020 John Wiley & Sons, Ltd. |
| Divisions: | Systemic Risk Centre |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HC Economic History and Conditions |
| Date Deposited: | 13 Jun 2022 09:09 |
| Last Modified: | 12 Dec 2024 02:48 |
| URI: | http://eprints.lse.ac.uk/id/eprint/115349 |
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