The Flash Crash: High‐Frequency Trading in an Electronic Market
Year: 2017
Type: article
Abstract: ABSTRACT 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 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.
Source: The Journal of Finance
DOI: 10.1111/jofi.12498
Institutions: Boston College, Boston University, Commodity Futures Trading Commission, Southern Methodist University, University of Cambridge, University of Massachusetts Amherst, University of Oxford, University of Chicago, Bank for International Settlements, Massachusetts Institute of Technology, Brandeis University, Columbia University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2987434780