A literature review on extreme price movements with reversal

Viktoria Steffen

Journal of Behavioral and Experimental Finance, 2023, vol. 38, issue C

Abstract: Extreme price movements with reversal (EPMRs) are positive or negative price patterns that reverse in a specific time period after the initial price change. Up to now, multiple types of EPMRs have formed, ranging from event-driven to trade imbalance-driven approaches, with numerous studies trying to explain this phenomenon. Although EPMRs have been studied for decades, the rise of the high frequency world has shed light on EPMRs with durations of a few minutes or seconds. This paper summarizes the literature on EPMRs, with a special focus on (mini) flash crashes. While high frequency traders are made responsible by numerous studies, evidence remains unclear.

Keywords: Extreme price movements; Price reversals; Flash crashes; Mini flash crashes (search for similar items in EconPapers)
JEL-codes: G14 G40 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000205

DOI: 10.1016/j.jbef.2023.100806

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