TY  - UNPD
A1  - Gonçalves, Jorge
A1  - Kräussl, Roman
A1  - Levin, Vladimir
T1  - Do "speed bumps" prevent accidents in financial markets?
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 636
N2  - Is it true that speed bumps level the playing field, make financial markets more stable and reduce negative externalities of high-frequency trading (HFT) firms? We examine how the implementation of a particular speed bump – Midpoint Extended Life order (M-ELO) on Nasdaq impacted financial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book message data around the implementation date and apply difference-in-differences analysis to estimate the average treatment effect of the speed bump on market stability and liquidity provision. The results suggest that the introduction of the M-ELO decreases the average number of crashes on Nasdaq compared to other exchanges by 4.7%. Liquidity provision by HFT firms also improves. These findings imply that technology-based solutions by exchanges are feasible alternatives to regulatory intervention towards safer markets.
T3  - CFS working paper series - 636 
KW  - Mini-flash crash
KW  - speed bump
KW  - midpoint extended life order
Y1  - 2019
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/51597
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-515971
UR  - https://ssrn.com/abstract=3478856
IS  - This version - July 2019
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -