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)
Southern Methodist University (SMU) - Edwin L. Cox School of Business
Federal Reserve Board
July 8, 2016
Journal of Finance, Forthcoming
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: 43
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
Date posted: May 27, 2011 ; Last revised: July 9, 2016
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