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The flash crash: high-frequency trading in an electronic market
Authors
A Kirilenko
AS Kyle
M Samadi
T Tuzun
Publication date
25 January 2017
Publisher
The Journal of Finance
Doi
Cite
Abstract
© 2017 the American Finance Association 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
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info:doi/10.1111%2Fjofi.12498
Last time updated on 11/12/2019
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Apollo (Cambridge)
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oai:www.repository.cam.ac.uk:1...
Last time updated on 28/04/2020
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Spiral - Imperial College Digital Repository
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Last time updated on 20/10/2017