Automation, Intermediation and the Flash Crash

Journal of Investment Management, Forthcoming

22 Pages Posted: 17 Feb 2018

See all articles by Andrei A. Kirilenko

Andrei A. Kirilenko

University of Cambridge - Finance

Albert S. Kyle

University of Maryland

Mehrdad Samadi

Board of Governors of the Federal Reserve System

Tugkan Tuzun

Board of Governors of the Federal Reserve System

Date Written: February 6, 2018

Abstract

The Flash Crash of May 6, 2010, shook the confidence of market participants and raised questions about the market structure of electronic markets. In these markets, intraday intermediation has been increasingly provided by market participants without formal obligations to do so. We examine intraday intermediation in the E-mini S&P 500 stock index futures market before and during the Flash Crash. We discuss the evolution of trading from human to electronic environments and the implications of our results for market design.

Keywords: High-Frequency, Automation, Volatility, Flash Crash, Intermediation, Market Making

Suggested Citation

Kirilenko, Andrei A. and Kyle, Albert (Pete) S. and Samadi, Mehrdad and Tuzun, Tugkan, Automation, Intermediation and the Flash Crash (February 6, 2018). Journal of Investment Management, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3119363 or http://dx.doi.org/10.2139/ssrn.3119363

Albert (Pete) S. Kyle

University of Maryland ( email )

College Park
College Park, MD 20742
United States

Mehrdad Samadi

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Tugkan Tuzun

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
692
Abstract Views
2,684
Rank
80,522
PlumX Metrics