Apr

12

There was some VPIN discussion on this list last summer. This might be of interest:

"Markets crash, and so does a paper explaining why"

Markets undergo flash crashes — when stocks or bonds rapidly nosedive in value and then just as rapidly recover — every day. On May 6, 2010, for example, the entire equity market flamed out and then nearly recovered its value all in the matter of hours.

Economic papers can do the same, apparently. Take the recent withdrawal of an paper from the Journal of Financial Markets:

"This article has been withdrawn at the request of the authors and editor. The Publisher apologizes for any inconvenience this may cause. Here is the full Elsevier Policy on Article Withdrawal.


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  1. Matthew on April 12, 2013 10:43 pm

    Good documentary on the Flash Crash,

    Backlight - Money and Speed: Inside The Black Box

    http://www.youtube.com/watch?v=H4BzsevJthw

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