You Need Three Butterflies to Cause a Hurricane

You Need Three Butterflies to Cause a Hurricane

The aim of this study is verifying the impact of high volatility, scarce liquidity and stop-loss orders on abnormal events like the May 6, 2010 Flash Crash. The paper assumes those three factors to be the main drivers, proposes a mathematical model based upon them and analyses audit trail data to ve...

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Bibliographic Details
Main Author: Gianluca Piero Maria Virgilio
Format: Article
Language:English
Published: Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house 2020-03-01
Series:Scientific Annals of Economics and Business
Subjects:
flash crash
abnormal market events
volatility
liquidity
stop-loss orders.
Online Access:http://saeb.feaa.uaic.ro/index.php/saeb/article/view/681

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