Finance市场微观结构 / Market Microstructure

High-Frequency Trading and Market Stability: Lessons from Flash Crashes

Kirilenko A., Kyle A., Samadi M.Imperial College LondonReview of Financial Studies(RFS)2025-08

Abstract

We develop a comprehensive framework for understanding the role of high-frequency traders during extreme market events. Using tick-by-tick data from multiple flash crash episodes across global equity markets, we identify specific HFT strategies that amplify price dislocations and those that provide stabilizing liquidity. Our findings inform the ongoing regulatory debate about speed bumps and circuit breakers.

AI SUMMARY

GENERATED

核心观点Key Findings

高频交易者在极端市场事件中扮演双重角色：部分HFT策略放大了价格偏离，而另一部分则提供了稳定性流动性。策略类型和市场结构决定了净效应的方向。

研究方法Methodology

使用全球股票市场多次闪崩事件的逐笔交易数据，开发HFT策略分类框架，通过事件研究和微观结构模型分析不同策略在极端事件中的行为模式。

主要结论Conclusions

对HFT的监管应采取差异化策略，区分提供流动性和加剧波动的交易行为。速度限制和熔断机制的设计需要更精细的校准。

关键词 Keywords

高频交易闪崩市场微观结构流动性市场稳定性

论文信息

METADATA

期刊Review of Financial Studies

期刊缩写RFS

发表日期2025-08

学科金融学 (Finance)

子领域市场微观结构 / Market Microstructure

机构Imperial College London

引用格式

CITATION

Kirilenko, A., Kyle, A., Samadi, M. (2025). High-Frequency Trading and Market Stability: Lessons from Flash Crashes. *Review of Financial Studies*.

High-Frequency Trading and Market Stability: Lessons from Flash Crashes

Abstract

论文信息

引用格式

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