Impact and recovery process of mini flash crashes: An empirical study
Author
Abstract
Suggested Citation
DOI: 10.1371/journal.pone.0196920
Download full text from publisher
References listed on IDEAS
- Stephen J. Hardiman & Nicolas Bercot & Jean-Philippe Bouchaud, 2013. "Critical reflexivity in financial markets: a Hawkes process analysis," Papers 1302.1405, arXiv.org, revised Jun 2013.
- Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014.
"Fact or friction: Jumps at ultra high frequency,"
Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
- Kim Christensen & Roel Oomen & Mark Podolskij, 2011. "Fact or friction: Jumps at ultra high frequency," CREATES Research Papers 2011-19, Department of Economics and Business Economics, Aarhus University.
- Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2004. "Fluctuations and response in financial markets: the subtle nature of 'random' price changes," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 176-190.
- Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017.
"Market Liquidity After the Financial Crisis,"
Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
- Tobias Adrian & Michael J. Fleming & Or Shachar & Erik Vogt, 2016. "Market liquidity after the financial crisis," Staff Reports 796, Federal Reserve Bank of New York.
- Adrian, Tobias & Fleming, Michael J. & Shachar, Or & Vogt, Erik, 2017. "Market Liquidity after the Financial Crisis," CEPR Discussion Papers 12248, C.E.P.R. Discussion Papers.
- Tobias Adrian & Michael J. Fleming & Or Shachar, 2017. "Market Liquidity after the Financial Crisis," Liberty Street Economics 20170628, Federal Reserve Bank of New York.
- Anton Golub & John Keane & Ser-Huang Poon, 2012. "High Frequency Trading and Mini Flash Crashes," Papers 1211.6667, arXiv.org.
- Alexander M. Petersen & Fengzhong Wang & Shlomo Havlin & H. Eugene Stanley, 2010. "Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws," Papers 1006.1882, arXiv.org, revised Oct 2010.
- Giovanni Cespa & Thierry Foucault, 2014.
"Illiquidity Contagion and Liquidity Crashes,"
The Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1615-1660.
- Giovanni Cespa & Thierry Foucault, 2014. "Illiquidity Contagion and Liquidity Crashes," Post-Print hal-00998274, HAL.
- Hendershott, Terrence & Riordan, Ryan, 2013. "Algorithmic Trading and the Market for Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(4), pages 1001-1024, August.
- Vladimir Filimonov & Didier Sornette, 2012. "Quantifying Reflexivity in Financial Markets: Towards a Prediction of Flash Crashes," Swiss Finance Institute Research Paper Series 12-02, Swiss Finance Institute.
- Andersen, Torben G. & Bondarenko, Oleg, 2014.
"VPIN and the flash crash,"
Journal of Financial Markets, Elsevier, vol. 17(C), pages 1-46.
- Torben G. Andersen & Oleg Bondarenko, 2011. "VPIN and the Flash Crash," CREATES Research Papers 2011-50, Department of Economics and Business Economics, Aarhus University.
- Serbera, Jean-Philippe & Paumard, Pascal, 2016. "The fall of high-frequency trading: A survey of competition and profits," Research in International Business and Finance, Elsevier, vol. 36(C), pages 271-287.
- Terrence Hendershott & Ryan Riordan, 2009. "Algorithmic Trading and Information," Working Papers 09-08, NET Institute, revised Aug 2009.
- Bence Toth & Yves Lemperiere & Cyril Deremble & Joachim de Lataillade & Julien Kockelkoren & Jean-Philippe Bouchaud, 2011. "Anomalous price impact and the critical nature of liquidity in financial markets," Papers 1105.1694, arXiv.org, revised Nov 2011.
- Shanshan Wang & Rudi Schäfer & Thomas Guhr, 2016. "Cross-response in correlated financial markets: individual stocks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 89(4), pages 1-16, April.
- Neil Johnson & Guannan Zhao & Eric Hunsader & Jing Meng & Amith Ravindar & Spencer Carran & Brian Tivnan, 2012. "Financial black swans driven by ultrafast machine ecology," Papers 1202.1448, arXiv.org.
- Vladimir Filimonov & Didier Sornette, 2012. "Quantifying reflexivity in financial markets: towards a prediction of flash crashes," Papers 1201.3572, arXiv.org, revised Apr 2012.
- Stephen Hardiman & Nicolas Bercot & Jean-Philippe Bouchaud, 2013. "Critical reflexivity in financial markets: a Hawkes process analysis," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 86(10), pages 1-9, October.
- Conrad, Jennifer & Wahal, Sunil & Xiang, Jin, 2015. "High-frequency quoting, trading, and the efficiency of prices," Journal of Financial Economics, Elsevier, vol. 116(2), pages 271-291.
- Shanshan Wang & Rudi Schafer & Thomas Guhr, 2016. "Cross-response in correlated financial markets: individual stocks," Papers 1603.01580, arXiv.org, revised Apr 2016.
- Andrew G. Haldane, 2012. "The Race to Zero," International Economic Association Series, in: Franklin Allen & Masahiko Aoki & Jean-Paul Fitoussi & Nobuhiro Kiyotaki & Roger Gordon & Joseph E. S (ed.), The Global Macro Economy and Finance, chapter 13, pages 245-270, Palgrave Macmillan.
- Foucault, T., 2016. "Where are the risks in high frequency trading?," Financial Stability Review, Banque de France, issue 20, pages 53-67, April.
- Jain, Pankaj K. & Jain, Pawan & McInish, Thomas H., 2016. "Does high-frequency trading increase systemic risk?," Journal of Financial Markets, Elsevier, vol. 31(C), pages 1-24.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Saketh Aleti & Bruce Mizrach, 2021. "Bitcoin spot and futures market microstructure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 194-225, February.
- Steffen, Viktoria, 2023. "A literature review on extreme price movements with reversal," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
- Owen Cotton‐Barratt & Max Daniel & Anders Sandberg, 2020. "Defence in Depth Against Human Extinction: Prevention, Response, Resilience, and Why They All Matter," Global Policy, London School of Economics and Political Science, vol. 11(3), pages 271-282, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Tobias Braun & Jonas A. Fiegen & Daniel C. Wagner & Sebastian M. Krause & Thomas Guhr, 2017. "Impact and Recovery Process of Mini Flash Crashes: An Empirical Study," Papers 1707.05580, arXiv.org.
- Paulin, James & Calinescu, Anisoara & Wooldridge, Michael, 2019. "Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 200-229.
- Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo, 2015. "Collective synchronization and high frequency systemic instabilities in financial markets," Papers 1505.00704, arXiv.org.
- Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
- Jean-Philippe Bouchaud, 2021. "The Inelastic Market Hypothesis: A Microstructural Interpretation," Papers 2108.00242, arXiv.org, revised Jan 2022.
- Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020.
"Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 247-275, February.
- Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020. "Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach," Papers 2012.04181, arXiv.org.
- Steffen, Viktoria, 2023. "A literature review on extreme price movements with reversal," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
- Turiel, Jeremy D. & Aste, Tomaso, 2022. "Heterogeneous criticality in high frequency finance: a phase transition in flash crashes," LSE Research Online Documents on Economics 113892, London School of Economics and Political Science, LSE Library.
- D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
- Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
- Mathieu Rosenbaum & Jianfei Zhang, 2022. "On the universality of the volatility formation process: when machine learning and rough volatility agree," Papers 2206.14114, arXiv.org.
- Swishchuk, Anatoliy & Zagst, Rudi & Zeller, Gabriela, 2021. "Hawkes processes in insurance: Risk model, application to empirical data and optimal investment," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 107-124.
- repec:wsi:acsxxx:v:21:y:2018:i:08:n:s0219525918500194 is not listed on IDEAS
- Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Papers 2005.05730, arXiv.org.
- James Paulin & Anisoara Calinescu & Michael Wooldridge, 2018. "Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach," Papers 1805.08454, arXiv.org.
- Hai-Chuan Xu & Wei-Xing Zhou, 2020.
"Modeling aggressive market order placements with Hawkes factor models,"
PLOS ONE, Public Library of Science, vol. 15(1), pages 1-12, January.
- Hai-Chuan Xu & Wei-Xing Zhou, 2018. "Modeling aggressive market order placements with Hawkes factor models," Papers 1811.08076, arXiv.org.
- Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Post-Print hal-00971369, HAL.
- Aditi Dandapani & Paul Jusselin & Mathieu Rosenbaum, 2019. "From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect," Papers 1907.06151, arXiv.org, revised Jan 2021.
- Damien Challet & R'emy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis, 2016.
"Statistically validated lead-lag networks and inventory prediction in the foreign exchange market,"
Papers
1609.04640, arXiv.org, revised Jul 2018.
- Damien Challet & Rémy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis, 2018. "Statistically validated leadlag networks and inventory prediction in the foreign exchange market," Post-Print hal-01705087, HAL.
- Emmanuel Bacry & Thibault Jaisson & Jean-Francois Muzy, 2014. "Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling," Papers 1412.7096, arXiv.org.
- Carlo Campajola & Domenico Di Gangi & Fabrizio Lillo & Daniele Tantari, 2020. "Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model," Papers 2007.15545, arXiv.org, revised Aug 2021.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:plo:pone00:0196920. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: plosone (email available below). General contact details of provider: https://journals.plos.org/plosone/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.