42 Pages Posted: 27 May 2011 Last revised: 18 Apr 2017
Date Written: January 6, 2017
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 - the Flash Crash - where a large automated selling 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 nondesignated intraday intermediaries (classified as High Frequency Traders) did not change when prices fell during the Flash Crash.
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
Suggested Citation: 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 (January 6, 2017). Journal of Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1686004 or http://dx.doi.org/10.2139/ssrn.1686004