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Mathematical Finance Letters ISSN 2051-2929

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Math. Finance Lett. 2015 (2015), Article ID 3

Some statistical properties of the mini flash crashes

Guilherme Demos, Sergio Da Silva, Raul Matsushita

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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.

Published
26 June 2015
Volume
2015 (2015)
License
CC BY 3.0

Copyright © 2015 Guilherme Demos, Sergio Da Silva, Raul Matsushita. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Cite this article

G. Demos, S. Da Silva, R. Matsushita, Some statistical properties of the mini flash crashes, Math. Finance Lett. 2015 (2015), 3.

BibTeX
@article{Demos2015,
  author  = {Demos, Guilherme and Da Silva, Sergio and Matsushita, Raul},
  title   = {Some statistical properties of the mini flash crashes},
  journal = {Math. Finance Lett.},
  volume  = {2015},
  year    = {2015},
  pages   = {3},
  doi     = {}
}