“Exchange-Traded Funds,
Market Structure, and the Flash Crash” by Ananth Madhavan.
The author analyzes the
relationship between market structure and the flash crash. The proliferation of
trading venues has resulted in a market that is more fragmented than ever. The
author constructs measures to capture fragmentation and shows that they are
important in explaining extreme price movements. New market structure reforms
should help mitigate such market disruptions in the future but have not
eliminated the possibility of another flash crash, albeit with a different
catalyst
