{"title":"算法交易与小型闪电崩盘：来自奥地利的证据","authors":"Roland Mestel , Viktoria Steffen , Erik Theissen","doi":"10.1016/j.econlet.2024.111982","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":2,"journal":{"name":"ACS Applied Bio Materials","volume":"244 ","pages":"Article 111982"},"PeriodicalIF":4.6000,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S016517652400466X/pdfft?md5=4206d13842db54d4fc1587610e53d594&pid=1-s2.0-S016517652400466X-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Algorithmic trading and mini flash crashes: Evidence from Austria\",\"authors\":\"Roland Mestel , Viktoria Steffen , Erik Theissen\",\"doi\":\"10.1016/j.econlet.2024.111982\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":2,\"journal\":{\"name\":\"ACS Applied Bio Materials\",\"volume\":\"244 \",\"pages\":\"Article 111982\"},\"PeriodicalIF\":4.6000,\"publicationDate\":\"2024-09-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S016517652400466X/pdfft?md5=4206d13842db54d4fc1587610e53d594&pid=1-s2.0-S016517652400466X-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ACS Applied Bio Materials\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S016517652400466X\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"MATERIALS SCIENCE, BIOMATERIALS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ACS Applied Bio Materials","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S016517652400466X","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATERIALS SCIENCE, BIOMATERIALS","Score":null,"Total":0}
Algorithmic trading and mini flash crashes: Evidence from Austria
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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