Some Statistical Properties of the Mini Flash Crashes

Guilherme Demos, Sergio Da Silva and Raul Matsushita

MPRA Paper from University Library of Munich, Germany

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.

Keywords: flash crash; mini flash crashes (search for similar items in EconPapers)
JEL-codes: C00 G10 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (1)

Published in Mathematical Finance Letters 3..2015(2015): pp. 1-19

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:65473

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