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

@article{Kirilenko2011TheFC,
  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},
  year={2011}
}
  • 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
    306 Citations
    High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?
    • 3
    • Highly Influenced
    • PDF
    High-frequency trading: a literature review
    • 1
    High Frequency Trading and Co-Movement in Financial Markets
    • 8
    • PDF

    References

    SHOWING 1-10 OF 53 REFERENCES
    High frequency trading and the new market makers
    • 574
    • PDF
    Low-latency trading $
    • 633
    • PDF
    Exchange-Traded Funds, Market Structure and the Flash Crash
    • 61
    Liquidity and Market Crashes
    • 140
    • PDF
    Does Algorithmic Trading Improve Liquidity
    • 1,148
    • PDF
    News Trading and Speed
    • 230
    • PDF