McInish, Tom; Upson, James; Wood, Robert A. - In: The Financial Review 49 (2014) 3, pp. 481-509
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...