Flash Crash Research
Wed, 15 Feb 2012 09:58:59 GMT
Unsurprisingly, given the interest of regulators and trading firms, there is a growing literature on the May 6, 2010 Flash Crash and "mini-flash crashes" throughout recent history. Unofficial high-speed liquidity providers, free from any contractual obligations, can become high-speed liquidity takers. Filimonov and Sornette investigate prediction of endogenous-feedback loops in the research paper Quantifying reflexivity in financial markets: towards a prediction of flash crashes.
