Short-lived arbitrage opportunities arise when prices adjust with a lag to new information.
They are toxic because they expose dealers to the risk of trading at stale quotes. Hence …

The author analyzes the relationship between market structure and the flash crash. The
proliferation of trading venues has resulted in a market that is more fragmented than ever …

Exchange-traded funds (ETFs) have grown substantially in diversity and size in recent years,
reflecting a broader shift toward passive, index investing. As a consequence, there is …

In this article, we make sense of financial algorithms as new objects of concern for
organizational ethnography. We conceive of algorithms as 'objects of ignorance'jeopardizing …

A breakdown of cross-market arbitrage activity could make markets more fragile and result in
price crashes. We provide suggestive evidence for this novel channel based on a high …

Exchange-traded funds (ETFs) are among the fastest-growing types of innovative financial
products. The emergence and spread of these instruments have been facilitated by the …

The purpose of this paper is to advance the understanding of the conditions that give rise to
flash crash contagion, particularly with respect to overlap** asset portfolio crowding. To …

We provide novel evidence that arbitrageurs use exchange-traded funds (ETFs) as an
avenue to circumvent short-sale constraints at the stock level. Using a large sample of US …

I investigate the relation between exchange-traded fund (ETF) flows and their underlying
securities' returns using a unique fund-level database covering US equity ETFs, adjusted for …

This study sets out to examine the dynamics of price discovery between the S&P 500 index
and its derivative products: the index futures, the index options, the S&P 500 exchange …