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

  title={The Flash Crash: High-Frequency Trading in an Electronic Market},
  author={Andrei A. Kirilenko and A. S. Kyle and Mehrdad Samadi and Tugkan Tuzun},
  journal={Capital Markets: Market Microstructure eJournal},
  • Andrei A. Kirilenko, A. S. Kyle, +1 author Tugkan Tuzun
  • Published 2011
  • Business
  • Capital Markets: Market Microstructure eJournal
  • 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, known as the Flash Crash, when a large automated sell 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 non… CONTINUE READING
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