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The Flash Crash, a brief period of extreme market volatility on May 6, 2010, raised questions about the current structure of the U.S. financial markets. We use audit-trail data to describe the structure of the E-mini S&P 500 stock index futures market on May 6. We ask three questions. How did High Frequency Traders (HFTs) trade on May 6? What may have(More)
We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of hedge funds, banks, brokers, and insurance companies based on principal components analysis and Granger-causality tests. We find that all four sectors have become highly interrelated over the past decade, increasing the level of systemic(More)
— Electronic markets have emerged as popular venues for the trading of a wide variety of financial assets, and computer based algorithmic trading has also asserted itself as a dominant force in financial markets across the world. Identifying and understanding the impact of algorithmic trading on financial markets has become a critical issue for market(More)
Landowners need a simple-to-use, readily available tool to contribute to sustainable management of family forests. We developed an Internet-based decision-support system, 4S Tool (Forest Stand Software Support System), which is designed to encourage informed forest management and to bridge the gap between a new generation of family forest owners (e.g.(More)
This paper analyzes the joint responses of commodity futures prices and traders' futures positions to changes in the VIX before and after the recent financial crisis. We find that while financial traders accommodate the needs of commercial hedgers in normal times, in times of distress, financial traders reduce their net long positions in response to an(More)
We study the profitability of traders in two fully electronic and highly liquid markets: the Dow and Standard & Poor's 500 e-mini futures markets. Using unique information that identify counterparties to a transaction, we show and seek to explain the fact that the network pattern of trades captures the relations between behavior in the market and returns.(More)
We examine the role of high-frequency traders (HFTs) in price discovery and price efficiency. Overall HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors, both on average and on the highest volatility days. This is done through their liquidity demanding orders. In(More)
  • Inessa Love, Lorenzo A Preve, Virginia Sarria-Allende, Andres Almazan, Charles Calomiris, Raymond Fisman +12 others
  • 2015
This paper studies the effect of financial crises on trade credit for a sample of 890 firms in six emerging economies. Although the provision of trade credit increases right after a crisis, it contracts in the following months and years. Firms that are financially more vulnerable to crises extend less trade credit to their customers. We argue that the(More)
We propose a tool called RegRank that can be used to measure and test whether government regulatory agencies adjust aspects of final rules in response to comments received from the public. The algorithm, which combines customized dictionaries with LDA topic models, is used to analyze the text of public rulemaking documents of the Commodity Futures Trading(More)
We propose and study a stylization of high frequency trading (HFT). Our interest is an order book which consists of orders from slow liquidity traders and orders from high-frequency traders. We would like to frame a model which is amenable to the (seemingly natural) mathematical toolkit of separation of scales and which can be used to address some of the(More)