The flash crash: high-frequency trading in an electronic market
Accepted version
Peer-reviewed
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Authors
Kirilenko, A
Kyle, AS
Samadi, M
Tuzun, T
Abstract
© 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.
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Keywords
38 Economics, 3502 Banking, Finance and Investment, 3801 Applied Economics, 35 Commerce, Management, Tourism and Services
Journal Title
The Journal of Finance
Conference Name
Journal ISSN
0022-1082
1540-6261
1540-6261
Volume Title
72
Publisher
Wiley-Blackwell
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All rights reserved