Abstract

http://ssrn.com/abstract=1686004
 
 

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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


Southern Methodist University (SMU) - Edwin L. Cox School of Business

Tugkan Tuzun


Federal Reserve Board

May 23, 2016

Journal of Finance, Forthcoming

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


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Date posted: May 27, 2011 ; Last revised: June 10, 2016

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). Journal of Finance, Forthcoming. 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
Southern Methodist University (SMU) - Edwin L. Cox School of Business ( email )
P.O. Box 750333
Dallas, TX 75275-0333
United States
Tugkan Tuzun
Federal Reserve Board ( email )
DC 20551
United States
Feedback to SSRN


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