The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading

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Critical reflexivity in financial markets: a Hawkes process analysis (2013, result): “The work of FS is, in this respect, in a similar vein to that of Easley, O’Hara and Lopez de Prado who developed their “VPIN” indicator [19].”
Uncertainty, Market Structure, and Liquidity (2014, neutral): “Graham and Harvey (2010) show that equity risk premium closely tracks VIX over time and increases sharply during financial crises.”
Fact or friction: jumps at ultra high frequency (2014, neutral): “From Panel A, in which returns are sampled at a ﬁve-minute frequency, one would probably conclude that the notorious ﬂash-crash episode contains a number of very large jumps [see, e.g., Easley, de Prado, and O’Hara (2011) for a discussion of the event].”