Journal
JOURNAL OF FINANCE
Volume 72, Issue 3, Pages 967-998Publisher
WILEY
DOI: 10.1111/jofi.12498
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Funding
- CFTC OCE [CFCE-09-CO-0147, CFCE-11-CO-0122, CFCE-13-CO-0061, CFCE-10-CO-0175]
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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 eventthe Flash Crashwhere 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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