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The Flash Crash: High‐Frequency Trading in an Electronic Market
Author(s) -
KIRILENKO ANDREI,
KYLE ALBERT S.,
SAMADI MEHRDAD,
TUZUN TUGKAN
Publication year - 2017
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/jofi.12498
Subject(s) - business , crash , high frequency trading , electronic trading , database transaction , futures contract , futures market , financial intermediary , stock market , intermediation , algorithmic trading , financial system , monetary economics , economics , finance , database , computer science , geography , context (archaeology) , archaeology , programming language
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.