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Golub, Anton
Keane, John
Poon, Ser Huang
Year of Publication: 
Series/Report no.: 
Manchester Business School Working Paper 633
We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market fragmentation, in particular due to the aggressive use of Intermarket Sweep Orders and Regulation NMS protecting only Top of the Book. We find strong evidence that Mini Flash Crashes have an adverse impact on market liquidity and are associated with Fleeting Liquidity.
Mini Flash Crash
Flash Crash
High Frequency Trading
Intermarket Sweep Order
Top of the Book Protection
Regulation National Market System
Document Type: 
Working Paper

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