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Weekly Top 5 Papers – November 5, 2010

1. The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading by David Easley (Cornell University – Department of Economics) and Marcos Mailoc Lopez de Prado (Tudor Investment Corp.; RCC, Harvard University) and Maureen O’Hara (Cornell University – Samuel Curtis Johnson Graduate School of Management) 2. A Quantitative Approach [...]
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