Skip to main content

Main menu

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Trading
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Trading

The Journal of Trading

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

Beyond the Flash Crash:Systemic Risk, Reliability, and High Frequency Financial Markets

Andrew Kumiega, Greg Sterijevski and Ben Van Vliet
The Journal of Trading Spring 2016, 11 (2) 71-83; DOI: https://doi.org/10.3905/jot.2016.11.2.071
Andrew Kumiega
is an adjunct professor at the illinois Institute of Technology in Chicago, IL.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: akumiega@iit.edu
Greg Sterijevski
is a risk consultant at the Illinois Institute of Technology in Chicago, IL.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: gsteri1@hotmail.com
Ben Van Vliet
is an assistant professor in the Stuart School of Business at the Illinois Institute of Technology in Chicago, IL.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: bvanvliet@stuart.iit.edu
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

Extreme events in financial markets can arise from fundamental information, but they can also arise from latent hazards embedded in the market design. This concept is known as systemic risk, and someone must bear it. Extreme events add to risk, and their probability and severity must be accounted for by market participants. This article shows how this risk fits into the finance literature and that, from an engineering perspective, this risk in markets has never been lower. The industry is evolving to mitigate this risk. This article presents an overview of the complexity of the automated market network and describes how market participants interact through the exchange mechanism. It defines new terms and a new framework for understanding the risk of extreme market moves from a reliability and safety perspective.

TOPICS: Financial crises and financial market history, tail risks

  • © 2016 Institutional Investor, Inc.
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Trading: 11 (2)
The Journal of Trading
Vol. 11, Issue 2
Spring 2016
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Trading.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Beyond the Flash Crash:Systemic Risk, Reliability, and High Frequency Financial Markets
(Your Name) has sent you a message from The Journal of Trading
(Your Name) thought you would like to see the The Journal of Trading web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Beyond the Flash Crash:Systemic Risk, Reliability, and High Frequency Financial Markets
Andrew Kumiega, Greg Sterijevski, Ben Van Vliet
The Journal of Trading Mar 2016, 11 (2) 71-83; DOI: 10.3905/jot.2016.11.2.071

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Beyond the Flash Crash:Systemic Risk, Reliability, and High Frequency Financial Markets
Andrew Kumiega, Greg Sterijevski, Ben Van Vliet
The Journal of Trading Mar 2016, 11 (2) 71-83; DOI: 10.3905/jot.2016.11.2.071
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • ARCHITECTURE OF LIQUIDITY SUPPLY AND DEMAND
    • DEFINITIONS FOR FINANCIAL MARKETS
    • SYSTEMIC RISK AND VOLATILITY
    • SYSTEMIC RISK AND BID–ASK SPREADS
    • QUALITY IN FINANCIAL MARKETS
    • RELIABILITY IN FINANCIAL MARKETS
    • SAFETY IN FINANCIAL MARKETS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1559-3967 | E-ISSN: 2168-8427

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies