The Flash Crash: High-Frequency Trading in an Electronic Market
By Andrei A. Kirilenko, Albert S. Kyle, M. Samadi, Tugkan Tuzun. 2017
711 citations recorded by the source corpus.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/727ce33ae9b4602cd5b96691140c66fe864d3e00
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
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- Markus Bibinger
- Nikolaus Hautsch
- Markus Reiß
- Peter Malec
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- V. Todorov
- Denis Belomestny
Citations in the corpus
- The alignment problem from a deep learning perspective (2022, background): “These could potentially lead to larger-scale instability (e.g. new flash crashes [Kirilenko et al., 2017]) • If policies are rewarded for producing novel scientific findings, they might gain the most reward by manipulating their results, e.g. by p-hacking or falsifying experimental data, which could…”
- Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence (2014, background): “The first study analyses the flash crash on May 6, 2010, see, for example, Kirilenko et al. (2017).”
- High-Frequency Market Making to Large Institutional Trades (2018, neutral): “Kirilenko et al. (2017) find that the HFTs in their sample engage in “stale quote sniping,” by disproportionately trading in the direction of a subsequent price movement and then offering much of the liquidity available at that new price.”
- Risk and Return in High-Frequency Trading (2018, neutral): “Consistent with the characterization of HFTs in the Securities and Exchange Commission’s Concept Release on Equity Market Structure (2010) and with functional-based approaches for HFT classification (Kirilenko et al., 2017), most, though not all, HFTs tend to have low intraday and end-of-day invento”
- Fact or friction: jumps at ultra high frequency (2014, neutral): “In fact, in a recent study using audit trail data, Kirilenko, Kyle, Samadi, and Tuzun (2017) characterize the flash-crash as a “brief period of extreme market volatility.””