``Four standard deviation moves in oil futures are not normal, even if Gaussian distributions underestimate the chance of such a move. The rise of high-speed electronic trading appears to be creating imbalances between buyers and sellers in nanoseconds that lead to outsized moves... One curious outcome about the rise of algo-driven trading is the volume is not leading to better liquidity, especially in these flash crashes. Liquidity -- defined as the ease with which trades can take place without causing a major price impact (and not referring here to overall bank liquidity/funding risk) -- appears to suddenly vanish in some of these big market moves, leading to massive swings... A 2007 paper published by New York University's Stern School of Business explains the potential negative feedback loop from market participants using [liquidity value-at-risk] gauges.''

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