We found another academic paper which has broken from the mold from the typical “tobacco professor” style papers that we normally read relating to HFT. The paper titled “High Frequency Trading and Mini Flash Crashes” was written by Golub, Keane and Poon and makes some very bold statements about mini-flash crashes. They state:
“We find that Mini Flash Crashes are the result of regulatory framework and market fragmentation; in particular due to aggressive use of Intermarket Sweep Orders and Regulation NMS protecting only the Top of the Book. We find that
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