The Flash Crash: A Cautionary Tale About Highly Fragmented Markets
研究了跨市场套利活动的中断如何导致市场脆弱和价格崩盘，基于对闪电崩盘的高频分析，发现此类事件对依赖本地流动性的卖家成本极高。
A breakdown of cross-market arbitrage activity could make markets more fragile and result in price crashes. We provide suggestive evidence for this novel channel based on a high-frequency analysis of the most salient crash in recent history: The Flash Crash. We further show that such an event can be extremely costly for a large seller trading in a particular venue as the seller effectively relies on local liquidity supply only. These findings highlight the vulnerability of today’s highly fragmented markets. This paper was accepted by Gustavo Manso, finance.