Abstract

http://ssrn.com/abstract=1629402
 
 

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The Flash Crash: Trading Aggressiveness, Liquidity Supply, and the Impact of Intermarket Sweep Orders


Robert Wood


University of Memphis - Fogelman College of Business and Economics

James Upson


University of Texas at El Paso

Thomas H. McInish


University of Memphis - Fogelman College of Business and Economics

July 2013


Abstract:     
During the Flash Crash on May 6, 2010, a short period of high stock market volatility, some stock prices declined to $0.01, while others increased to $100,000. Examining Intermarket Sweep Orders (ISO) before, on, and after May 6, we find that ISO use is substantially higher on May 6. For those stocks whose prices fell the most, over 65% of the sell volume comes from ISOs. During the price recovery period for these stocks, about 53% of the buy volume comes from ISOs. We believe that the unusual behavior of ISOs contributed to the sudden drop and recovery of the market.

Number of Pages in PDF File: 45

Keywords: Regulation NMS, Market Quality, Sweep Order, Flash Crash

JEL Classification: G14, G18, G19

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Date posted: June 26, 2010 ; Last revised: August 22, 2013

Suggested Citation

Wood, Robert and Upson, James and McInish, Thomas H., The Flash Crash: Trading Aggressiveness, Liquidity Supply, and the Impact of Intermarket Sweep Orders (July 2013). Available at SSRN: http://ssrn.com/abstract=1629402 or http://dx.doi.org/10.2139/ssrn.1629402

Contact Information

Robert A. Wood
University of Memphis - Fogelman College of Business and Economics ( email )
Memphis, TN 38152
United States
901-678-2670 (Phone)
901-678-3006 (Fax)
HOME PAGE: http://www.people.memphis.edu/~rwood/
James Upson (Contact Author)
University of Texas at El Paso ( email )
500 West University
El Paso, TX 79968-0545
United States
Thomas H. McInish
University of Memphis - Fogelman College of Business and Economics ( email )
Memphis, TN 38152
United States
901-678-4662 (Phone)
901-678-3006 (Fax)
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