V-shapes

Maria Flora and Roberto Renò

Journal of Banking & Finance, 2025, vol. 179, issue C

Abstract: We present a methodology for detecting flash crashes by identifying short-term V-shaped price reversals. Our approach, based on drift burst test statistics, aligns with the SEC’s forensic definition of market access rule violations, highlighting its potential as a market surveillance tool. Flash crashes have become more frequent over the past decade and are typically accompanied by high volumes, high volatility, and an increase in odd-lot trades. They are more likely to occur following periods of high volumes, elevated price impact, low volatility, and heightened algorithmic activity.

Keywords: Price reversals; Flash crashes; Market violations; Algorithmic trading (search for similar items in EconPapers)
JEL-codes: C58 G12 G14 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:179:y:2025:i:c:s0378426625001414

DOI: 10.1016/j.jbankfin.2025.107521

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