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The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes
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 co...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2017
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5665520/ https://www.ncbi.nlm.nih.gov/pubmed/29091931 http://dx.doi.org/10.1371/journal.pone.0186688 |
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author | Levine, Zachary S. Hale, Scott A. Floridi, Luciano |
author_facet | Levine, Zachary S. Hale, Scott A. Floridi, Luciano |
author_sort | Levine, Zachary S. |
collection | PubMed |
description | 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 times larger than the number experienced in any other three-minute window in the prior ten weekdays. We argue that (a) this statistically significant finding suggests that mini flash crashes in equity markets both predicted and contributed to the October 2014 U.S. Treasury Bond Flash Crash, and (b) mini-flash crashes are important phenomena with negative externalities that deserve much greater scholarly attention. |
format | Online Article Text |
id | pubmed-5665520 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2017 |
publisher | Public Library of Science |
record_format | MEDLINE/PubMed |
spelling | pubmed-56655202017-11-09 The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes Levine, Zachary S. Hale, Scott A. Floridi, Luciano PLoS One Research Article 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 times larger than the number experienced in any other three-minute window in the prior ten weekdays. We argue that (a) this statistically significant finding suggests that mini flash crashes in equity markets both predicted and contributed to the October 2014 U.S. Treasury Bond Flash Crash, and (b) mini-flash crashes are important phenomena with negative externalities that deserve much greater scholarly attention. Public Library of Science 2017-11-01 /pmc/articles/PMC5665520/ /pubmed/29091931 http://dx.doi.org/10.1371/journal.pone.0186688 Text en © 2017 Levine et al http://creativecommons.org/licenses/by/4.0/ This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. |
spellingShingle | Research Article Levine, Zachary S. Hale, Scott A. Floridi, Luciano The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes |
title | The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes |
title_full | The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes |
title_fullStr | The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes |
title_full_unstemmed | The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes |
title_short | The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes |
title_sort | october 2014 united states treasury bond flash crash and the contributory effect of mini flash crashes |
topic | Research Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5665520/ https://www.ncbi.nlm.nih.gov/pubmed/29091931 http://dx.doi.org/10.1371/journal.pone.0186688 |
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