Filtern
Erscheinungsjahr
- 2023 (1)
Dokumenttyp
- Arbeitspapier (1)
Sprache
- Englisch (1)
Volltext vorhanden
- ja (1)
Gehört zur Bibliographie
- nein (1)
Schlagworte
- mini-flash crash (1) (entfernen)
Institut
- Center for Financial Studies (CFS) (1) (entfernen)
This paper examines how the implementation of a new dark order - Midpoint Extended Life Order on NASDAQ - impacts financial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book data and apply panel regression analysis to estimate the effect of M-ELO trading on market stability and liquidity provision. The results suggest a predominance of a speed bump effect of M-ELO rather than a darkness effect. We find that the introduction of M-ELO increases market stability by reducing the average number of mini-flash crashes, but its impact on market quality is mixed.