The Flash Crash

KIRILENKO, A., KYLE, A. S., SAMADI, M., & TUZUN, T. (2017). The Flash Crash: High-Frequency Trading in an Electronic Market. The Journal of Finance, 72(3), 967-998.

Type

Journal article

Intellectual base

Primary research

Year

2017

Volume

72

Issue

3

Pages

967-998

DOI

10.1111/jofi.12498

DOI registrant

Wiley

Link

https://doi.org/10.1111/jofi.12498

Cited from

behavioral_economics, systems_cybernetics

Cited by

2 citations across 2 artifacts.

Each citation links to the sentence it supports in the citing article.

Primes

• Herding Behavior
  • The asymmetry is crucial: upward cascades compress information gradually; downward cascades accelerate because losses loom larger than gains in the psychological weight actors place on them.
• Reference Cadence Exceeds Tracking Bandwidth
  • In markets, order flow churning on a millisecond cadence against second-scale price discovery produces microstructure noise and flash crashes.

    This sourceDocuments how high-frequency order flow churning faster than slower liquidity/price discovery produced the May 2010 flash crash, the market-microstructure instance of fast reference cadence against a slower loop.

    Supported in partVerified against the work's full text

    Documents the May 2010 Flash Crash and that high-frequency traders operate at millisecond message frequencies, but attributes it to limited intermediary risk-bearing capacity, not a cadence mismatch.

    “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.”

    Read by an automated reader; not a human review. How support was checked

Verification

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Registry ID ref:3d5e45baeab8 · see in the full table