A couple of papers I spotted a while ago:
Easey et al study a measure of order flow toxicity called Volume-Synchronized Probability of Informed Trading in The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading. Johnson et al considers a large number of mini-flash crashes from 2006 to 2011 in Financial black swans driven by ultrafast machine ecology [PDF].
Wednesday, May 2, 2012
Flash Crash Research, Part 2
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