Economics, Econometrics and Finance
8 years ago

Trading glitch causes stock prices to soar and institutional costs to skyrocket.

SSRN Electronic Journal
The Rogue Algorithm and Its Discontents: Evidence from a Major Trading Glitch
Vincent Bogousslavsky, Pierre Collin‐Dufresne, Mehmet Sağlam

Paper Summary

The study looked at how a trading glitch affected stock prices and trading costs. When a firm made big trades, stock prices went up or down by 4% and became harder to trade. Prices went back to normal the next day, but trading costs stayed high for over a week. This shows that stock prices and trading costs are connected but measure different things.

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