The Flash Crash: Trading Aggressiveness, Liquidity Supply, and the Impact of Intermarket Sweep Orders
Author:
Affiliation:
1. University of Memphis
2. University of Texas at El Paso
3. Provo, Utah
Publisher
Wiley
Subject
Economics and Econometrics,Finance
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/fire.12047/fullpdf
Reference14 articles.
1. Andresen , T. O. Bondarenko 2011 VPIN and the Flash Crash Working paper
2. Federal market information technology in the post-Flash Crash era: Roles for supercomputing;Bethel;Journal of Trading,2012
3. Clean sweep: Informed trading through intermarket sweep orders;Chakravarty;Journal of Financial and Quantitative Analysis,2012
4. Order imbalance, liquidity, and market returns;Chordia;Journal of Financial Economics,2002
5. Order imbalance and individual stock returns: Theory and evidence;Chordia;Journal of Financial Economics,2004
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