Journal of Finance Vol. 72 No. 3 2017

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

Andrei Kirilenko^{1,2,3,4,5,6,7}; Albert S. Kyle^{1,2,3,4,5,6,7}; Mehrdad Samadi; TUGKAN TUZUN

¹ Boston University · ² Conference Board · ³ Commodity Futures Trading Commission · ⁴ Southern Methodist University · ⁵ University of Massachusetts Amherst · ⁶ Brandeis University · ⁷ Columbia University

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.

DOI

10.1111/jofi.12498

Volume

72

Issue

3

Pages

967-998

Language

en

Sources

crossref bibtex:phds-export.bib openalex

Cite

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