Order aggressiveness and flash crashes

Research output: Contribution to journalArticlepeer-review


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
Publication statusE-pub ahead of print - 4 Aug 2020


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


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