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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2017-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC5665520?pdf=render |
| _version_ | 1818136869167169536 |
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| author | Zachary S Levine Scott A Hale Luciano Floridi |
| author_facet | Zachary S Levine Scott A Hale Luciano Floridi |
| author_sort | Zachary S Levine |
| collection | DOAJ |
| 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. |
| first_indexed | 2024-12-11T09:47:15Z |
| format | Article |
| id | doaj.art-b4324a1a26eb4b098737ba0f8e95695d |
| institution | Directory Open Access Journal |
| issn | 1932-6203 |
| language | English |
| last_indexed | 2024-12-11T09:47:15Z |
| publishDate | 2017-01-01 |
| publisher | Public Library of Science (PLoS) |
| record_format | Article |
| series | PLoS ONE |
| spelling | doaj.art-b4324a1a26eb4b098737ba0f8e95695d2022-12-22T01:12:32ZengPublic Library of Science (PLoS)PLoS ONE1932-62032017-01-011211e018668810.1371/journal.pone.0186688The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes.Zachary S LevineScott A HaleLuciano FloridiWe 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.http://europepmc.org/articles/PMC5665520?pdf=render |
| spellingShingle | Zachary S Levine Scott A Hale Luciano Floridi The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes. PLoS ONE |
| 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 |
| url | http://europepmc.org/articles/PMC5665520?pdf=render |
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