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DOI：10.1016/j.jbankfin.2025.107521.png)
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Abstract
En 中文
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:
G14
G12
C58
Price reversals
Flash crashes
Market violations
Algorithmic trading
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