Journal of Finance, Volume 72, Issue 3, June 2017,Pages 967-998

瞬时暴跌：在电子市场中的高频交易

作者：Andrei Kirilenko (Imperial College London), Albert S. Kyle (University of Maryland), Mehrdad Samadi (Southern Methodist University), Tugkan Tuzun (Federal Reserve Board of Governors)

摘要：本文研究了电子交易市场在一个较大的且为暂时的卖空压力期之前及期间的日内市场交易媒介。2010年5月6日，美国金融市场经历了一个系统性的瞬时暴跌事件，该事件起因源于在电子迷你标准普尔500指数期货市场中，一个大型自动售股程序迅速执行。在5月6日和前三天的电子迷你市场上，使用审计跟踪交易级别的数据，我们发现在瞬时暴跌期间，最活跃的非指定日内交易媒介(即高频交易者)的交易模式并没有发生变化。

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

Andrei Kirilenko (Imperial College London), Albert S. Kyle (University of Maryland), Mehrdad Samadi (Southern Methodist University), Tugkan Tuzun (Federal Reserve Board of Governors)

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.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12500/full

翻译：秦秀婷