The Flash Crash: High-Frequency Trading in an Electronic Market

• 成果类型: Article
• 署名作者: Kirilenko, Andrei; Kyle, Albert S.; Samadi, Mehrdad; Tuzun, Tugkan
• 署名单位: Imperial College London; University System of Maryland; University of Maryland College Park; Southern Methodist University; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12498
• 发表日期: 2017
• 页码: 967-998
• 关键词: liquidity; inventories; DYNAMICS; auctions

摘要

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 eventthe Flash Crashwhere 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.