The Flash Crash: Trading Aggressiveness, Liquidity Supply, and the Impact of Intermarket Sweep Orders. Issue 3 (August 2014)

• Record Type: Journal Article
• Authors: McInish, Tom; Upson, James; Wood, Robert A.
• Is Part Of: Financial review. Volume 49:Issue 3(2014)
• Page Start: 481
• Page End: 509
• Publication Date: 2014-08
• Subjects: Finance -- United States -- Periodicals; Finance -- Periodicals; 332
• DOI: 10.1111/fire.12047
• Languages: English
• ISSNs: 0732-8516

Abstract

<abstract abstract-type="main"> <title>Abstract</title> <p>During the Flash Crash on May 6, 2010, a short period of high stock market volatility, some stock prices declined to $0.01, while others increased to $100, 000. Examining Intermarket Sweep Orders (ISOs) before, on, and after May 6, we find that ISO use is substantially higher on May 6. For those stocks whose prices fell the most, over 65% of the sell volume comes from ISOs. During the price recovery period for these stocks, about 53% of the buy volume comes from ISOs. We believe that the unusual behavior of ISOs contributed to the sudden drop and recovery of the market.</p> </abstract>