Flash crash case study

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In an Ultrafast Extreme Event or Mini Flash Crash , the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extreme Events in stock market data. In contrast to popular belief, our analysis suggests that most of the Ultrafast Extreme Events are not necessarily due to feedbacks in High Frequency Trading: In at least 60 percent of the observed Ultrafast Extreme Events, the largest fraction of the price change is due to a single market order. In times of financial crisis, large market orders are more likely which leads to a significant increase of Ultrafast Extreme Events occurrences. Furthermore, we analyze the trades following each Ultrafast Extreme Events.
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Flash crash - Wikipedia

A flash crash is an event in electronic securities markets wherein the withdrawal of stock orders rapidly amplifies price declines, and then quickly recovers. The result appears to be a rapid sell-off of securities that can happen over a few minutes, resulting in dramatic declines. However, usually by the end of the trading day, as prices have rebounded, it's as if the flash crash never happened. A flash crash, like the one that occurred on May 6, , is exacerbated as computer trading programs react to aberrations in the market, such as heavy selling in one or many securities, and automatically begin selling large volumes at an incredibly rapid pace to avoid losses. Flash crashes can trigger circuit breakers at major stock exchanges like the NYSE, which halt trading until buy and sell orders can be matched up evenly and trading can resume in an orderly fashion. Especially as trading has become more digitized, flash crashes are usually triggered by these computer algorithms rather than a specific piece of market or company news that causes the quick selloff.
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Qué son los "flash crash" y por qué ponen en jaque a los mercados

The flash crash of resurfaced with an arrest on Tuesday. Prosecutors at the Department of Justice along with the Commodity Futures Trading Commission have accused one self-employed trader in Britain of manipulating futures markets so much that he played a significant role in the events that led to the five-minute, 1,point plunge in the Dow Jones industrial average on May 6, His plan of attack, according to the allegations, was to put multiple orders in the system just off the best price to create enough volatility to foster artificial prices. He would then pounce on the dislocation, canceling 99 percent of his previous orders in the process. Traders in both instances, though, were employed by big banks with loads of capital and lumbering bureaucracies.
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A flash crash is when the value of a market plummets in electronic trading over a short time period. It underscores the volatility that comes along with trading, especially in the digital age. Learn more about flash crashes and actions that have been taken to prevent them. By the end of the day, it recovered most of its lost territory. The opposite of a flash crash—a rapid increase of prices in a market—is sometimes called a flash spike.
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