Automation, Intermediation and the Flash Crash

Vol. 16 No.4, 2018
Andrei Kirilenko, Albert S. Kyle, Mehrdad Samadi and Tugkan Tuzun

The Flash Crash of May 6, 2010, shook the confidence of market participants and raised questions about the market structure of electronic markets. In these markets, intraday intermediation has been increasingly provided by market participants without formal obligations to do so. We examine intraday intermediation in the E-mini S&P 500 stock index futures market before and during the Flash Crash. We also discuss the evolution of trading from human to electronic environments and the implications of our results for market design.

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