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Journal article

The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes.

Abstract:

We investigate the causal uncertainty surrounding the flash crash in the U.S. Treasury bond market on October 15, 2014, and the unresolved concern that no clear link has been identified between the start of the flash crash at 9:33 and the opening of the U.S. equity market at 9:30. We consider the contributory effect of mini flash crashes in equity markets, and find that the number of equity mini flash crashes in the three-minute window between market open and the Treasury Flash Crash was 2.6 ...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1371/journal.pone.0186688

Authors


More by this author
Institution:
University of Oxford
Division:
Social Sciences Division
Department:
Internet Institute
Oxford college:
Hertford College
Role:
Author
ORCID:
0000-0002-6894-4951
More by this author
Institution:
University of Oxford
Division:
SSD
Department:
Oxford Internet Institute
Role:
Author

Contributors

Keble College, University of Oxford More from this funder
Publisher:
Public Library of Science Publisher's website
Journal:
PloS One Journal website
Volume:
12
Issue:
11
Pages:
e0186688
Publication date:
2017-11-01
Acceptance date:
2017-10-02
DOI:
EISSN:
1932-6203
ISSN:
1932-6203
Pmid:
29091931
Source identifiers:
743524
Language:
English
Keywords:
Pubs id:
pubs:743524
UUID:
uuid:5242bd12-59c4-421b-8668-c33c1b85ae58
Local pid:
pubs:743524
Deposit date:
2018-02-12

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