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

Andrei Kirilenko discusses 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.

Publication

Report Infringement

Leave a Reply

Your email address will not be published. Required fields are marked *

Previous Article

Changing the Subject: Psychology, Social Regulation and Subjectivity

Next Article

Fundamental British Values in the Early Years

×
As a Guest, you have insight(s) remaining for this month. Create a free account to view 300 more annually.
Related Posts
error:

Add the Faculti Web App to your Mobile or Desktop homescreen

Install
×