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We use stock-day level data on the market share of algorithmic trading to analyze whether algorithmic trading affects the frequency of mini flash crashes in the Austrian stock market. We use an instrumental variables approach and the Petrin and Train (2010) control function approach to address endogeneity concerns. We find no evidence that algorithmic trading significantly affects the probability of the occurrence of mini flash crashes.
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Mestel et al. (2024) studied this question.
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