medium · Market Microstructure hft
A 'Flash Crash' scenario occurs where HFT market makers withdraw liquidity simultaneously.
Which microstructure phenomenon best explains why prices collapse so much further than fundamental news would suggest?
- Liquidity Black Hole and Stop-Loss Cascades.
- Regulatory NMS Sub-Penny violations.
- Excessive maker rebates attracting toxic flow.
- High Information Shares on Dark Venues.
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