The microstructure of the "flash crash": Flow toxicity, liquidity crashes, and the probability of informed trading

Journal of Portfolio Management

Volumn 37, Issue 2, 2011, Pages 118-128

  Easley, David ^a   De Prado, Marcos M LóPez ^b,c   O'Hara, Maureen ^a  

^a Department of Obstetrics Gynecology   (United States)

^b Tudor Investment Corporation   (United States)

^c HARVARD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79551710783     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2011.37.2.118     Document Type: Article

References (20)

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