The Flash Crash: High‐Frequency Trading in an Electronic Market
研究了2010年5月6日美国闪电崩盘期间，电子市场中高频交易者的中介行为是否发生变化，发现其交易模式在价格下跌时并未改变。
ABSTRACT 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.