Revisiting the trading activity of high-frequency trading firms around ultra-fast flash events
Abstract We investigate high-frequency traders’ behavior in the context of the fastest and most extreme price movements (EPMs) that can be observed in the market, specifically ultra-fast flash events, challenging the methodologies employed in the academic and practitioner literature for identifying...
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Main Authors: | Christophe Desagre, Floris Laly, Mikael Petitjean |
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Format: | Article |
Language: | English |
Published: |
SpringerOpen
2025-01-01
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Series: | Financial Innovation |
Subjects: | |
Online Access: | https://doi.org/10.1186/s40854-024-00726-z |
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