Back to Search
Start Over
Impact and recovery process of mini flash crashes: An empirical study.
- Source :
- PLoS ONE; 5/21/2018, Vol. 13 Issue 5, p1-11, 11p
- Publication Year :
- 2018
-
Abstract
- In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extreme Events in stock market data. In contrast to popular belief, our analysis suggests that most of the Ultrafast Extreme Events are not necessarily due to feedbacks in High Frequency Trading: In at least 60 percent of the observed Ultrafast Extreme Events, the largest fraction of the price change is due to a single market order. In times of financial crisis, large market orders are more likely which leads to a significant increase of Ultrafast Extreme Events occurrences. Furthermore, we analyze the 100 trades following each Ultrafast Extreme Events. While we observe a tendency of the prices to partially recover, less than 40 percent recover completely. On the other hand we find 25 percent of the Ultrafast Extreme Events to be almost recovered after only one trade which differs from the usually found price impact of market orders. [ABSTRACT FROM AUTHOR]
- Subjects :
- FINANCIAL crises
ECONOMIC impact
STOCK exchanges
FINANCIAL markets
Subjects
Details
- Language :
- English
- ISSN :
- 19326203
- Volume :
- 13
- Issue :
- 5
- Database :
- Complementary Index
- Journal :
- PLoS ONE
- Publication Type :
- Academic Journal
- Accession number :
- 129706744
- Full Text :
- https://doi.org/10.1371/journal.pone.0196920