The Microstructure of the Flash Crash
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Uploaded by QuantCongressUSA2011 on Jul 4, 2011
E-Mini S&P500 intraday returns with readings of order flow toxicity during the 'flash crash' of May 6th 2010. Presented by Marcos Lopez de Prado during the QUANT CONGRESS USA, July 12-14th 2011, New York.
For additional information, visit:
* http://www.quantcongressusa.com/speakers
* http://ssrn.com/abstract=1695041
* http://ssrn.com/abstract=1695596
* http://ssrn.com/abstract=1748633
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