Some Statistical Properties of the Mini Flash Crashes

Demos, Guilherme and Da Silva, Sergio and Matsushita, Raul (2015): Some Statistical Properties of the Mini Flash Crashes. Published in: Mathematical Finance Letters , Vol. 2015, No. 3. (2015): pp. 1-19.

Abstract

We present some properties of the data from the recent mini flash crashes occurring in individual stocks of the Dow Jones Industrial Average. The top five are: 1) Gaussianity is absent in data; 2) the tail decay of the return distributions follow power laws; 3) chaos and logperiodicity cannot be dismissed at first; 4) chaos and logperiodicity are not good models for the data on second thoughts; and 5) a threshold GARCH fit can also describe the data well, but fails to detect the power law tail decay of most distributions of returns.

• Item Type: MPRA Paper
• Language: English
• Keywords: flash crash, mini flash crashes
• Subjects: C - Mathematical and Quantitative Methods > C0 - General > C00 - General; G - Financial Economics > G1 - General Financial Markets > G10 - General

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