Impact and Recovery Process of Mini Flash Crashes: An Empirical Study
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 Events are …