{"id":"W1218625970","doi":"10.2139/ssrn.2531122","title":"High-Frequency Trading and Extreme Price Movements","year":2014,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":163,"is_retracted":false,"has_abstract":false,"ca_institutions":"Queen's University","funders":"","keywords":"Market liquidity; High-frequency trading; Economics; Monetary economics; Business; Financial economics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.00163953,0.0001430914,0.000253016,0.0001431131,0.0002191445,0.0001189891,0.0001770164,0.00006252236,0.0001126466],"category_scores_gemma":[0.00008544267,0.0001474536,0.00006082291,0.0001151808,0.0000438212,0.0003934711,0.00002245618,0.0005852001,0.00004391308],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0003527013,"about_ca_system_score_gemma":0.0001320562,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0001834469,"about_ca_topic_score_gemma":0.0000737252,"domain_scores_codex":[0.9979102,0.00001948989,0.0004150994,0.0002384731,0.00004334154,0.001373388],"domain_scores_gemma":[0.9994732,0.00002283904,0.0002768731,0.0001305188,0.00001654725,0.00008006955],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00000637145,0.00002526249,0.01294042,0.000005767082,0.00004057147,5.555299e-7,0.0000523965,0.000001638126,0.00007242299,0.9839085,0.00006361105,0.00288244],"study_design_scores_gemma":[0.0005466931,0.0002219996,0.02390092,0.00001059617,0.000003920066,0.00002978607,0.0001036549,0.0002264533,0.00001327721,0.9704789,0.00428135,0.0001824353],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9128764,0.007549022,0.01348575,0.0008374302,0.0005424335,0.0001261627,0.00000718712,0.00003168503,0.0645439],"genre_scores_gemma":[0.9931214,0.004468313,0.0003935442,0.000277154,0.0002706349,0.000004658605,0.000002070318,0.00001942867,0.001442747],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.08024503,"threshold_uncertainty_score":0.6012983,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01892088227192626,"score_gpt":0.1915025261655864,"score_spread":0.1725816438936601,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}