Exchange-Traded Funds, Market Structure, and the Flash Crash

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Illiquidity Contagion and Liquidity Crashes (2014, unknown): “pD = 1 + d(2) + σ(2)η λγH uD + 1 + d λγH uF (27)”
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis (2013, background): “The analysis of the efficiency of the emerging ecology of partially connected trading pools is questioned, especially since the flash crash [Madhavan, 2011], [Kirilenko et al., 2010] during which the US equity market 1MFG Labs 2CEREMADE and Crédit Agricole Corporate and Investment Bank 3Capital…”
High frequency market microstructure. (2015, background): “This has led to concerns that HFT market making can induce market instability in the guise of periodic illiquidity (see Kirilenko, Kyle, Samadi, and Tuzun, 2011; Easley, Lopez de Prado, and O’Hara, 2012; Madhavan, 2013).”