following periods of high short-term volatility or periods of extreme stock movement. We define HFT as a subclass of proprietary … with the theory that fast traders leave the market when stress situations arise, although their limit order supplying … behaviour becomes neutral when short-term volatility is more informational than transactional. The agency algorithmic traders …

following a period of high short-term volatility. This is inconsistent with the theory that fast traders leave the market when … stress situations arise, although their limit order supplying behaviour becomes neutral when short-term volatility is more …

-post and ex-ante types), of cancellation fees and of transaction taxes on asset price volatility and on the occurrence and … duration of flash crashes. In the model, low-frequency agents adopt trading rules based on chronological time and can switch … volatility and the frequency of flash crashes. However, these policies also imply a longer duration of flash crashes. Furthermore …