The Flash Crash: High‐Frequency Trading in an Electronic Market
Open accessAbstract
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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While more recent studies have concluded that these algorithms did not cause the crash, they are widely acknowledged to have contributed through their exploitation of temporary market imbalances.
“While more recent studies have concluded that these algorithms did not cause the crash, they are widely acknowledged to have contributed through their exploitation of temporary market imbalances (Kirilenko et al., 2017).”
From Open Challenges in Multi-Agent Security: Towards Secure Systems of Interacting AI Agents (2025) · cites this paper as Kirilenko et al., 2017
The 2010 flash crash demonstrated how algorithmic trading agents, each optimizing narrow profit signals, can collectively trigger a trillion-dollar market plunge in minutes.
“while the 2010 flash crash demonstrated how algorithmic trading agents, each optimizing narrow profit signals, can collectively trigger a trillion-dollar market plunge in minutes (Kirilenko et al., 2017).”
From Open Challenges in Multi-Agent Security: Towards Secure Systems of Interacting AI Agents (2025) · cites this paper as Kirilenko et al., 2017
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- Authors
- KIRILENKO, A., KYLE, A. S., SAMADI, M., & TUZUN, T.
- Affiliations
- Boston College (US)
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2017-04-21
- Volume
- 72
- Issue
- 3
- Pages
- 967-998
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2987434780
- Cited by
- 795
- References
- 0
- Citations by year
- 2026: 104 · 2025: 97 · 2024: 83 · 2023: 73 · 2022: 71 · 2021: 74 · 2020: 72 · 2019: 79 · 2018: 50 · 2017: 53 · 2016: 8 · 2015: 10 · 2014: 4 · 2013: 6 · 2012: 5
- FWCI
- 100.85
- Type
- journal article
- Language
- en
- Open access
- green
- doi.org
- Locations
- The Journal of Finance (publishedVersion)
- Spiral (Imperial College London) (submittedVersion)
- Apollo (University of Cambridge) (submittedVersion)
- Apollo
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Business, Management and Accounting › Management Information Systems › FinTech, Crowdfunding, Digital Finance
- Social Sciences › Economics, Econometrics and Finance › Finance › Stochastic processes and financial applications
- Keywords
- flash crashes, high-frequency trading, electronic trading, E-mini S&P 500 futures, market liquidity, transaction data, market microstructure
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