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On May 6, 2010, U.S. financial markets experienced a systemic intraday event\u2014the Flash Crash\u2014where a large automated selling program was rapidly executed in the E\u2010mini S&amp;P 500 stock index futures market. Using audit trail transaction\u2010level data for the E\u2010mini on May 6 and the previous three days, we find that the trading pattern of the most active nondesignated intraday intermediaries (classified as High\u2010Frequency Traders) did not change when prices fell during the Flash Crash.<\/jats:p>","DOI":"10.1111\/jofi.12498","type":"journal-article","created":{"date-parts":[[2017,1,25]],"date-time":"2017-01-25T06:56:59Z","timestamp":1485327419000},"page":"967-998","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":768,"title":["The Flash Crash: High\u2010Frequency Trading in an Electronic Market"],"prefix":"10.1111","volume":"72","author":[{"given":"ANDREI","family":"KIRILENKO","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"ALBERT S.","family":"KYLE","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"MEHRDAD","family":"SAMADI","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"TUGKAN","family":"TUZUN","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2017,4,21]]},"reference":[{"key":"e_1_2_6_2_1","unstructured":"Ait\u2010Sahalia Yacine andMehmetSaglam 2016 High frequency market making Working paper Princeton University."},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90020-3"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.01.007"},{"key":"e_1_2_6_5_1","unstructured":"Biais Bruno FanyDeclerck andSophieMoinas 2016 Who supplies liquidity how and when? 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