Madhavan (2011) suggests that the extreme price volatility during the flash crash is partially the result of market fragmentation (that is, the fact that in today’s economy trading activity is dispersed across different trading venues). Because of fragmented trading activity, market depth in each trading venue is lower, increasing market fragility. Madhavan measures fragmentation through the Herfindahl-Hirshman Index (HHI), an index often used in the industrial organization literature, computed as the sum of the square of the share of each trading venue. The index equals one if all activity is concentrated in one venue, and decreases as market fragmentation increases. Madhavan finds that securities experiencing greater market fragmentation in the month before the flash crash were disproportionately affected during the crash, and that the level of fragmentation was higher on May 6 than in the previous twenty days of trading. Moreover, the level of market fragmentation has increased dramatically over the last ten years, raising the prospect that flash crash episodes may occur again.