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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...
Autores principales: | Braun, Tobias, Fiegen, Jonas A., Wagner, Daniel C., Krause, Sebastian M., Guhr, Thomas |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2018
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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 |
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