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Impact and recovery process of mini flash crashes: An empirical study

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...

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Detalles Bibliográficos
Autores principales: Braun, Tobias, Fiegen, Jonas A., Wagner, Daniel C., Krause, Sebastian M., Guhr, Thomas
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2018
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5962080/
https://www.ncbi.nlm.nih.gov/pubmed/29782503
http://dx.doi.org/10.1371/journal.pone.0196920