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...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2018-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC5962080?pdf=render |