Cargando…

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...

Descripción completa

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
_version_ 1783324834563883008
author Braun, Tobias
Fiegen, Jonas A.
Wagner, Daniel C.
Krause, Sebastian M.
Guhr, Thomas
author_facet Braun, Tobias
Fiegen, Jonas A.
Wagner, Daniel C.
Krause, Sebastian M.
Guhr, Thomas
author_sort Braun, Tobias
collection PubMed
description 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.
format Online
Article
Text
id pubmed-5962080
institution National Center for Biotechnology Information
language English
publishDate 2018
publisher Public Library of Science
record_format MEDLINE/PubMed
spelling pubmed-59620802018-06-02 Impact and recovery process of mini flash crashes: An empirical study Braun, Tobias Fiegen, Jonas A. Wagner, Daniel C. Krause, Sebastian M. Guhr, Thomas PLoS One Research Article 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. Public Library of Science 2018-05-21 /pmc/articles/PMC5962080/ /pubmed/29782503 http://dx.doi.org/10.1371/journal.pone.0196920 Text en © 2018 Braun et al http://creativecommons.org/licenses/by/4.0/ This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
spellingShingle Research Article
Braun, Tobias
Fiegen, Jonas A.
Wagner, Daniel C.
Krause, Sebastian M.
Guhr, Thomas
Impact and recovery process of mini flash crashes: An empirical study
title Impact and recovery process of mini flash crashes: An empirical study
title_full Impact and recovery process of mini flash crashes: An empirical study
title_fullStr Impact and recovery process of mini flash crashes: An empirical study
title_full_unstemmed Impact and recovery process of mini flash crashes: An empirical study
title_short Impact and recovery process of mini flash crashes: An empirical study
title_sort impact and recovery process of mini flash crashes: an empirical study
topic Research Article
url 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
work_keys_str_mv AT brauntobias impactandrecoveryprocessofminiflashcrashesanempiricalstudy
AT fiegenjonasa impactandrecoveryprocessofminiflashcrashesanempiricalstudy
AT wagnerdanielc impactandrecoveryprocessofminiflashcrashesanempiricalstudy
AT krausesebastianm impactandrecoveryprocessofminiflashcrashesanempiricalstudy
AT guhrthomas impactandrecoveryprocessofminiflashcrashesanempiricalstudy