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Some Statistical Properties of the Mini Flash Crashes

Author

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  • Demos, Guilherme
  • Da Silva, Sergio
  • Matsushita, Raul

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.

Suggested Citation

  • Demos, Guilherme & Da Silva, Sergio & Matsushita, Raul, 2015. "Some Statistical Properties of the Mini Flash Crashes," MPRA Paper 65473, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:65473
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    References listed on IDEAS

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    1. Choi, Kyongwook & Yu, Wei-Choun & Zivot, Eric, 2010. "Long memory versus structural breaks in modeling and forecasting realized volatility," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 857-875, September.
    2. Reginald D. Smith, 2010. "Is high-frequency trading inducing changes in market microstructure and dynamics?," Papers 1006.5490, arXiv.org, revised Sep 2010.
    3. Simón Sosvilla-Rivero & Fernando Fernández-Rodriguez & Julián Andrada-Félix, 2005. "Testing chaotic dynamics via Lyapunov exponents," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 911-930.
    4. Mazzeu, Joao & Otuki, Thiago & Da Silva, Sergio, 2011. "The canonical econophysics approach to the flash crash of May 6, 2010," MPRA Paper 29138, University Library of Munich, Germany.
    5. Raul Matsushita & Sergio Da Silva, 2011. "A log-periodic fit for the flash crash of May 6, 2010," Economics Bulletin, AccessEcon, vol. 31(2), pages 1772-1779.
    6. Mantegna, Rosario N. & Stanley, H.Eugene, 1998. "Modeling of financial data: Comparison of the truncated Lévy flight and the ARCH(1) and GARCH(1,1) processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 254(1), pages 77-84.
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    Cited by:

    1. Zachary S Levine & Scott A Hale & Luciano Floridi, 2017. "The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes," PLOS ONE, Public Library of Science, vol. 12(11), pages 1-14, November.

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    More about this item

    Keywords

    flash crash; mini flash crashes;

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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