Zur Kurzanzeige

dc.creatorBellia, Mario
dc.creatorChristensen, Kim
dc.creatorKolokolov, Aleksey
dc.creatorPelizzon, Loriana
dc.creatorRenò, Roberto
dc.date.accessioned2021-09-28T09:39:25Z
dc.date.available2021-09-28T09:39:25Z
dc.date.issued2020-03-01
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2376
dc.description.abstractWe show that High Frequency Traders (HFTs) are not beneficial to the stock market during flash crashes. They actually consume liquidity when it is most needed, even when they are rewarded by the exchange to provide immediacy. The behavior of HFTs exacerbate the transient price impact, unrelated to fundamentals, typically observed during a flash crash. Slow traders provide liquidity instead of HFTs, taking advantage of the discounted price. We thus uncover a trade-off between the greater liquidity and efficiency provided by HFTs in normal times, and the disruptive consequences of their trading activity during distressed times.
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectSystemic Risk Lab
dc.subjectFinancial Markets
dc.titleHigh-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?
dc.typeWorking Paper
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1351?BEDOFIH
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1473?NYSE
dc.source.filename270_SSRN-id3560238
dc.identifier.safeno270
dc.subject.keywordsflash crashes
dc.subject.keywordshigh-frequency traders (hfts)
dc.subject.keywordsliquidity provision
dc.subject.keywordsmarketmaking
dc.subject.jelG10
dc.subject.jelG14
dc.subject.topic1brownian
dc.subject.topic1kristensen
dc.subject.topic1normal
dc.subject.topic2compute
dc.subject.topic2irfs
dc.subject.topic2jorda
dc.subject.topic3sample
dc.subject.topic3compose
dc.subject.topic3standard
dc.subject.topic1nameConsumption
dc.subject.topic2nameFiscal Stability
dc.subject.topic3nameTrading and Pricing
dc.identifier.doi10.2139/ssrn.3560238


Dateien zu dieser Ressource

Thumbnail

Das Dokument erscheint in:

Zur Kurzanzeige

Attribution-ShareAlike 4.0 International
Solange nicht anders angezeigt, wird die Lizenz wie folgt beschrieben: Attribution-ShareAlike 4.0 International