The flash crash: high-frequency trading in an electronic market
The Journal of Finance
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Kirilenko, A., Kyle, A., Samadi, M., & Tuzun, T. (2017). The flash crash: high-frequency trading in an electronic market. The Journal of Finance, 72 (3), 967-998. https://doi.org/10.1111/jofi.12498
© 2017 the American Finance Association 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.
External DOI: https://doi.org/10.1111/jofi.12498
This record's URL: https://www.repository.cam.ac.uk/handle/1810/304244
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