This paper studies Leveraged and Inverse Exchange Traded Funds (LETFs) from a financial stability perspective. Mechanical positive-feedback rebalancing of LETFs resembles the portfolio insurance strategies, which contributed to the stock market crash of October 19, 1987 (Brady Report, 1988). I...

The first essay examines the events of May 6, 2010: the ``Flash Crash". 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. Audit-trail data from U.S. Commodity Futures Trading Commission (CFTC)...

This paper studies invariance relationships in tick-by-tick transaction data in the U.S. stock market. Over 1993-2001, monthly regression coefficients of the log of the trade arrival rate on the log of trading activity have an almost constant value of 0.666, close to the value of 2/3 predicted...