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

Andrei Kirilenko, Albert S. Kyle, Mehrdad Samadi, Tugkan Tuzun · 2017 · The Journal of Finance

IntermediateHFTEmpiricalFree to read

Account-level E-mini data from 6 May 2010: HFTs did not trigger the crash but amplified it by passing inventory back and forth.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT
Data needed: Trades Set what data you have
Themes: HFT & market design
Assets: Index futures
Market: US

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@article{kirilenko2017flash,
  author = {Kirilenko, Andrei and Kyle, Albert S. and Samadi, Mehrdad and Tuzun, Tugkan},
  title = {{The Flash Crash: High-Frequency Trading in an Electronic Market}},
  journal = {The Journal of Finance},
  year = {2017},
  doi = {10.1111/jofi.12498}
}

Kirilenko, A., Kyle, A. S., Samadi, M., & Tuzun, T. (2017). The Flash Crash: High-Frequency Trading in an Electronic Market. The Journal of Finance. https://doi.org/10.1111/jofi.12498