The Risk of Mini Flash Crashes

Detta är en D-uppsats från Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

Sammanfattning: This paper examines unique data on mini flash crashes in the American stock market in the time period ranging from 3 January 2006 to 3 February 2011. Data shows an autoregressive behaviour in the number of mini flash crashes (stock-day observations). However, the behaviour is complex and might differ a lot among individual stocks. Furthermore, results showed that the price change during a mini flash crash is bigger on Fridays and on days with abnormally negative daily stock returns. The price change also has a positive correlation with the number of sequential ticks during the crash. In the extended version "Mini Flash Crashes in Logit Models" the findings about the autoregressive behaviour were supported. In addition, the probability of at least one mini flash crash was also higher on days with extremely negative returns.

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