TY - UNPD A1 - Bellia, Mario A1 - Christensen, Kim A1 - Kolokolov, Aleksey A1 - Pelizzon, Loriana A1 - Renò, Roberto T1 - High-frequency trading during flash crashes: Walk of fame or hall of shame? T2 - SAFE working paper series ; No. 270 N2 - We show that High Frequency Traders (HFTs) are not beneficial to the stock market during flash crashes. They actually consume liquidity when it is most needed, even when they are rewarded by the exchange to provide immediacy. The behavior of HFTs exacerbate the transient price impact, unrelated to fundamentals, typically observed during a flash crash. Slow traders provide liquidity instead of HFTs, taking advantage of the discounted price. We thus uncover a trade-o↵ between the greater liquidity and efficiency provided by HFTs in normal times, and the disruptive consequences of their trading activity during distressed times. T3 - SAFE working paper - 270 KW - flash crashes KW - high-frequency traders (HFTs) KW - liquidity provision KW - market making Y1 - 2020 UR - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/53360 UR - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-533600 UR - https://ssrn.com/abstract=3560238 IS - March 2020 PB - SAFE CY - Frankfurt am Main ER -