Abstract

http://ssrn.com/abstract=1686004
 
 

References (90)



 
 

Citations (71)



 


 



The Flash Crash: High Frequency Trading in an Electronic Market


Andrei A. Kirilenko


Brevan Howard Centre for Financial Analysis, Imperial College Business School

Albert S. Kyle


University of Maryland; National Bureau of Economic Research (NBER)

Mehrdad Samadi


University of North Carolina (UNC) at Chapel Hill - Finance Area

Tugkan Tuzun


Federal Reserve Board

May 23, 2016


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, known as the Flash Crash, when a large automated sell 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 non-designated intraday intermediaries (classified as High Frequency Traders) did not change when prices fell during the Flash Crash.

Number of Pages in PDF File: 38

Keywords: High-Frequency, High Frequency Trading, Algorithmic Trading, Flash Crash, Liquidity, Volatility, Price Impact, May 6, Intermediation, Market Making

JEL Classification: G12, G13, G18, G28


Open PDF in Browser Download This Paper

Date posted: May 27, 2011  

Suggested Citation

Kirilenko, Andrei A. and Kyle, Albert S. and Samadi, Mehrdad and Tuzun, Tugkan, The Flash Crash: High Frequency Trading in an Electronic Market (May 23, 2016). Available at SSRN: http://ssrn.com/abstract=1686004 or http://dx.doi.org/10.2139/ssrn.1686004

Contact Information

Andrei A. Kirilenko (Contact Author)
Brevan Howard Centre for Financial Analysis, Imperial College Business School ( email )
South Kensington Campus
Exhibition Road
London SW7 2AZ, DC SW7 2AZ
United Kingdom
Albert (Pete) S. Kyle
University of Maryland ( email )
College Park
College Park, MD 20742
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Mehrdad Samadi
University of North Carolina (UNC) at Chapel Hill - Finance Area ( email )
Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States
Tugkan Tuzun
Federal Reserve Board ( email )
DC 20551
United States
Feedback to SSRN


Paper statistics
Abstract Views: 51,442
Downloads: 12,624

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 0.203 seconds