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

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...

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Bibliographic Details
Published in:The Journal of finance (New York) 2017-06, Vol.72 (3), p.967-998
Main Authors: KIRILENKO, ANDREI, KYLE, ALBERT S., SAMADI, MEHRDAD, TUZUN, TUGKAN
Format: Article
Language:English
Subjects:
2010
Electronic trading systems
Futures market
High frequency trading
Markets
Prices
Stock exchanges
Stock index futures
Trading
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