Order dynamics during the flash crash

James S. Ang, Kenneth J. Hunsader, Shaojun Zhang

Research output: Journal article publicationJournal articleAcademic researchpeer-review


US common stocks are simultaneously traded on multiple trading centers. We study quotes and trades with millisecond time stamps during the flash crash of May 6, 2010, and document new findings about order dynamics when the fragmented market is under stress. First, relative to May 5, 2010, the number of trades and the number of quotes quadrupled on May 6, 2010. Second, during the flash crash, the proportional time of a trading center offering the best bid/ask quotes substantially reduced on all trading centers, while the effectiveness of turning best quotes into trades increased on almost all trading centers. Third and most importantly, we find significant changes in the level of trade (or quote) fragmentation during the flash crash for stocks with a high or low level of fragmentation, but no significant change for stocks with a fragmentation level in the middle range. These findings together demonstrate that, despite the dramatic increase in the number of quotes, there was insufficient liquidity on all trading centers, and stocks with a medium level of trade (or quote) fragmentation were most resilient to the sudden order flow shock.

Original languageEnglish
Pages (from-to)365-383
Number of pages19
JournalJournal of Asset Management
Issue number5
Publication statusPublished - 1 Sep 2019


  • Flash crash
  • Herfindahl index
  • Market fragmentation
  • Order imbalance

ASJC Scopus subject areas

  • Business and International Management
  • Strategy and Management
  • Information Systems and Management

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