Details

Autor(en) / Beteiligte

• KIRILENKO, ANDREI
• KYLE, ALBERT S.
• SAMADI, MEHRDAD
• TUZUN, TUGKAN

Titel

The Flash Crash: High-Frequency Trading in an Electronic Market

Ist Teil von

• The Journal of finance (New York), 2017-06, Vol.72 (3), p.967-998

Ort / Verlag

Cambridge: Wiley Periodicals, Inc

Erscheinungsjahr

2017

Quelle

Wiley Online Library

Beschreibungen/Notizen

• 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.