Order aggressiveness and flash crashes

Khaladdin Rzayev, Gbenga Ibikunle

Research output: Contribution to journal › Article › peer-review

Abstract / Description of output

We present a novel framework to explain the contribution of order aggressiveness to flash crashes. We thereafter test the predictions of the framework using a sample of S&P 500 stocks trading during the May 6, 2010 flash crash. Our findings suggest that aggressive orders are more profitable during flash crashes; thus, there are more incidences of aggressive trading during flash crashes. We also find that order aggressiveness is a significant contributor to flash crashes and can therefore be exploited as a predictor of flash crashes.
Original languageEnglish
Number of pages27
JournalInternational Journal of Finance and Economics
Early online date4 Aug 2020
DOIs
Publication statusE-pub ahead of print - 4 Aug 2020

Keywords / Materials (for Non-textual outputs)

  • flash crash
  • order aggressiveness
  • aggreassive trading strategy
  • passive trading strategy
  • flash crashes
  • high-frequency data
  • high-frequency traders
  • volatility

Access to Document

  • RzayevIbikunleIJFE2020OrderAggressivenessAndFlashCrashes

    This is the peer reviewed version of the following article: Rzayev, K, Ibikunle, G. Order aggressiveness and flash crashes. Int J Fin Econ. 2020; 1– 27. https://doi.org/10.1002/ijfe.1926, which has been published in final form at https://onlinelibrary.wiley.com/doi/full/10.1002/ijfe.1926. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.

    Accepted author manuscript, 1.55 MB

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