The Flash Crash: High‐Frequency Trading in an Electronic Market
Boston University · Conference Board · +5 more institutions
Abstract
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.
Citation impact
- FWCI
- 95.66
- Percentile
- 100%
- References
- 49
Authors
4- AKAndrei KirilenkoCorresponding
Boston University, Conference Board, Commodity Futures Trading Commission, Southern Methodist University, University of Massachusetts Amherst, Brandeis University, Columbia University
- ASAlbert S. Kyle
Boston University, Conference Board, Commodity Futures Trading Commission, Southern Methodist University, University of Massachusetts Amherst, Brandeis University, Columbia University
- MSMehrdad Samadi
- TTTugkan Tuzun
Topics & keywords
- Business
- Crash
- High-frequency trading
- Electronic trading
- Database transaction
- Futures contract
- Futures market
- Financial intermediary