Title

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

Publication Date

5-27-2011

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.

Document Type

Article

Keywords

High-Frequency, High Frequency Trading, Algorithmic Trading, Flash Crash, Liquidity, Volatility, Price Impact, May 6, Intermediation, Market Making

Disciplines

Finance

DOI

10.2139/ssrn.1686004

Source

SMU Cox: Finance (Topic)

Language

English

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