Abstract

http://ssrn.com/abstract=1686004
 
 

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The Flash Crash: The Impact of High Frequency Trading on 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

December 28, 2015


Abstract:     
We study intraday 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 during the Flash Crash.

Number of Pages in PDF File: 41

Keywords: 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: December 29, 2015

Suggested Citation

Kirilenko, Andrei A. and Kyle, Albert S. and Samadi, Mehrdad and Tuzun, Tugkan, The Flash Crash: The Impact of High Frequency Trading on an Electronic Market (December 28, 2015). 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
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