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KIRILENKO, ANDREI; KYLE, ALBERT S.; SAMADI, MEHRDAD; TUZUN, TUGKAN
The Journal of finance (New York), June 2017, Letnik: 72, Številka: 3Journal Article
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.
