Algorithmic trading and mini flash crashes: Evidence from Austria
利用奥地利股市的股票日度数据，研究算法交易是否影响迷你闪崩的发生频率，发现算法交易对迷你闪崩概率无显著影响。
We use stock-day level data on the market share of algorithmic trading to analyze whether algorithmic trading affects the frequency of mini flash crashes in the Austrian stock market. We use an instrumental variables approach and the Petrin and Train (2010) control function approach to address endogeneity concerns. We find no evidence that algorithmic trading significantly affects the probability of the occurrence of mini flash crashes.