Are high frequency traders responsible for extreme price movements?
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DOI: 10.1016/j.eap.2021.11.001
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Cited by:
- Steffen, Viktoria, 2023. "A literature review on extreme price movements with reversal," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
- Ao Kong & Robert Azencott & Hongliang Zhu & Xindan Li, 2024. "Pattern Recognition in Microtrading Behaviors Preceding Stock Price Jumps: A Study Based on Mutual Information for Multivariate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1401-1429, April.
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More about this item
Keywords
HFT; VPIN; Order flow toxicity; Asymmetry information; Volatility; Price jumps;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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