The Study Of The Risk Characteristics Of High-frequency Trading In The Flash Crash On May 6 In The Stock Market Of The United States

A rare unprecedented stock disaster broke out in the Wall Street on May 6th, 2010. The Dow Jones industrial average dropped sharply,falling 9900 points in just ten minutes and the falling range once reached 9.2%, becoming the biggest one-day fall since the 1987 crash. On the same day, all major stock index plunged to the lowest, and even some zero- price stock occurred. Just in ten minutes, however, it was unknown what power drived the index back. After the "flash crash", some of the United States institutions tried to explore and research the causes of the crash event. One of the most controversial factor is the high-frequency trading. With the development of computer technology, high-frequency trading has dominated in the U.S. financial market, taking up daily trading volume of 50% to 75%, and its risk character gradually became a decisive factor of the U.S. financial market stabilizer. Thus studying the issue of trading risk character of "flash crash" high-frequency is very necessary.With the deepening of financial reform and the continuous development of China’s financial market, the capital market of China is opening gradually and keeping in line with international standards in order to need the inherent requirement of China’s economic structure optimization.The issue of T+0 trading system is just a matter of time and at this system high-frequency trading will play a more important role. The study of the risk character of high-frequency trading in the "flash crash" is not only an important topic in financial economics category, but also has strong practical significant meaning to promote the reform and development of our capital market. This study is based on the U.S. stocks "flash crash" 5.6 event, and trys to analyzize the characteristics of high-frequency trading risk and its impact on the stock market and the "flash crash" event, then learns some experiences of the way how the SEC solves it. At last the study trys to propose some proper suggestions for the regulation of high-frequency trading.