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Flash krach et trading haute-fréquence : Le rôle des algorithmes dans l'instabilité boursière

Author

Listed:
  • Lise Arena

    (GREDEG - Groupe de Recherche en Droit, Economie et Gestion - UNS - Université Nice Sophia Antipolis (1965 - 2019) - CNRS - Centre National de la Recherche Scientifique - UniCA - Université Côte d'Azur)

  • Nathalie Oriol

    (LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - CNAM - Conservatoire National des Arts et Métiers [CNAM])

  • Iryna Veryzhenko

    (LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - CNAM - Conservatoire National des Arts et Métiers [CNAM])

Abstract

This article seeks to answer the following research question: To what extent can IS uses developed by traders in high frequency trading practices explain the emergence of flash crashes on the financial market? The originality - but also the challenge - raised by this question outlines the need to cross two disciplinary fields which are often studied in isolation from each other: information systems management and finance. Built on realistic assumptions and observations of traders' strategies and IS uses (especially with the distinctions between 'fundamentalists' and 'chartists'), an agent-based approach is presented. Preliminary results could be expressed as follows: IS uses have increasingly modified traders beliefs and strategies which in turn contributed to increase markets instabilities via flash crashes phenomena.

Suggested Citation

  • Lise Arena & Nathalie Oriol & Iryna Veryzhenko, 2014. "Flash krach et trading haute-fréquence : Le rôle des algorithmes dans l'instabilité boursière," Post-Print halshs-01066420, HAL.
    • Handle: RePEc:hal:journl:halshs-01066420
    as

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