The flash crash: high-frequency trading in an electronic market

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Title: The flash crash: high-frequency trading in an electronic market
Author(s): Kirilenko, A
Kyle, AS
Samadi, M
Tuzun, T
Item 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.
Publication Date: 21-Apr-2017
Date of Acceptance: 25-Jan-2017
URI: http://hdl.handle.net/10044/1/49798
DOI: https://dx.doi.org/10.1111/jofi.12498
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
Keywords: 1502 Banking, Finance And Investment
Finance
Publication Status: Published
Embargo Date: 2019-04-21
Appears in Collections:Imperial College Business School



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