Algorithmic trading and mini flash crashes: Evidence from Austria

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2024-09-16 DOI:10.1016/j.econlet.2024.111982

Roland Mestel , Viktoria Steffen , Erik Theissen

引用次数: 0

Abstract

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.

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算法交易与小型闪电崩盘：来自奥地利的证据

我们使用算法交易市场份额的股票日水平数据来分析算法交易是否会影响奥地利股市小型闪崩的频率。我们使用工具变量法以及 Petrin 和 Train（2010 年）的控制函数法来解决内生性问题。我们没有发现证据表明算法交易会显著影响迷你闪崩的发生概率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.