The flash crash: high-frequency trading in an electronic market
File(s)
Accepted version
Author(s)
Kirilenko, A
Kyle, AS
Samadi, M
Tuzun, T
Type
Journal Article
Abstract
We study intraday market intermediation in an electronic market before and during a period of large and temporary selling pressure. On May 6, 2010, U.S. financial markets experienced a systemic intraday event—the Flash Crash—where a large automated selling program was rapidly executed in the E-mini S&P 500 stock index futures market. Using audit trail transaction-level data for the E-mini on May 6 and the previous three days, we find that the trading pattern of the most active nondesignated intraday intermediaries (classified as High-Frequency Traders) did not change when prices fell during the Flash Crash.
Date Issued
2017-04-21
Date Acceptance
2016-06-08
Citation
The Journal of Finance, 2017, 72 (3), pp.967-998
ISSN
0022-1082
Publisher
Wiley
Start Page
967
End Page
998
Journal / Book Title
The Journal of Finance
Volume
72
Issue
3
Copyright Statement
© 2017 the American Finance Association
Subjects
1502 Banking, Finance And Investment
Finance
Publication Status
Published
Date Publish Online
2017-01-25