Exchange-traded funds, market structure, and the flash crash

Financial Analysts Journal

Volumn 68, Issue 4, 2012, Pages 20-35

  Madhavan, Ananth ^a  

^a BlackRock   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84879566153     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v68.n4.6     Document Type: Article

References (21)

1. Barr, Colin. 2010. "Progress Energy Joins Flash Crash Crowd." Fortune (27 September): http://finance.fortune.cnn.com/2010/09/27/progress- energy-joins-flash-crash-crowd.
2. Ben-David, Itzhak, Francesco Franzoni, and Rabih Moussawi. 2011. "ETFs, Arbitrage, and Contagion." Working Paper 2011- 20, Dice Center, Ohio State University.
3. Bethel, E. Wes, David Leinweber, Oliver Riibel, and Kesheng Wu. 2011. "Federal Market Information Technology in the Post Flash Crash Era: Roles for Supercomputing." Working paper, Lawrence Berkeley National Laboratory (September).
4. Borkovec, Milan, Ian Domowitz, Vitaly Serbin, and Henry Yegerman. 2010. "Liquidity and Price Discovery in Exchange- Traded Funds: One of Several Possible Lessons from the Flash Crash." Journal of Index Investing, vol. 1, no. 2 (Fall):24-42.
5. Bowley, Graham. 2010a. "Stock Swing Still Baffles, with an Ominous Tone." New York Times (22 August).
6. Bowley, Graham. 2010b. "The Flash Crash, in Miniature." New York Times (8 November).
7. Bradley, Harold, and Robert E. Litan. 2010. "Choking the Recovery: Why New Growth Companies Aren't Going Public and Unrecognized Risks of Future Market Disruptions." Research report, Ewing Marion Kauffman Foundation (November).
8. Brogaard, Jonathan. 2010. "High Frequency Trading and Its Impact on Market Quality." Working paper, Kellogg School of Management, Northwestern University. CFTC and SEC. 2010.
9. "Findings Regarding the Market Events of 6 May 2010." Report by the U.S. Commodity Futures Trading Commission and the U.S. Securities and Exchange Commission (30 September).
10. Chakravarty, Sughato, Robert A. Wood, and John Upson. 2010. "The Flash Crash: Trading Aggressiveness, Liquidity Supply, and the Impact of Intermarket Sweep Orders." Working paper.
11. Cheng, Minder, and Ananth Madhavan. 2009. "The Dynamics of Leveraged and Inverse Exchange-Traded Funds." Journal of Investment Management, vol. 7, no. 4 (Fourth Quarter):43-62.
12. Easley, David, Marcos Lopez de Prado, and Maureen O'Hara. 2011. "The Microstructure of the 'Flash Crash': Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading." Journal of Portfolio Management, vol. 37, no. 2 (Winter):118-128.
13. Egginton, Jared F., Bonnie F. Van Ness, and Robert A. Van Ness. 2011. "Quote Stuffing." Working paper.
14. Hasbrouck, Joel, and Gideon Saar. 2010. "Low-Latency Trading." Working paper, New York University.
15. Hendershott, Terrence J., and Pamela C. Moulton. 2011. "Automation, Speed, and Stock Market Quality: The NYSE's Hybrid." Journal of Financial Markets, vol. 14, no. 4 (November):568-604.
16. Hendershott, Terrence J., Charles M. Jones, and Albert J. Menkveld. 2011. "Does Algorithmic Trading Improve Liquidity?" Journal of Finance, vol. 66, no. 1 (February):1-33.
17. Kirilenko, Andrei, Albert S. Kyle, Mehrdad Samadi, and Tugkan Tuzun. 2010. "The Flash Crash: The Impact of High Frequency Trading on an Electronic Market." Working paper, University of Maryland (May).
18. O'Hara, Maureen, and Mao Ye. 2011. "Is Market Fragmentation Harming Market Quality?" Journal of Financial Economics, vol. 100, no. 3 (June):459-474.
19. Ramaswamy, Srichander. 2010. "Market Structures and Systemic Risks of Exchange-Traded Funds." Bank for International Settlements Working Paper 343.
20. Wurgler, Jeffrey. 2011. "On the Economic Consequences of Index-Linked Investing." In Challenges to Business in the Twenty- First Century. Edited by Gerald Rosenfeld, Jay W. Lorsch, and Rakesh Khurana. Cambridge, MA: American Academy of Arts & Sciences.
21. Zhang, Frank. 2010. "High-Frequency Trading, Stock Volatility, and Price Discovery." Working paper, Yale University (December).