Automation, Intermediation and the Flash Crash
Journal of Investment Management, Forthcoming
22 Pages Posted: 17 Feb 2018
Date Written: February 6, 2018
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
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