Journal of Banking & Finance Vol. 179 2025
V-shapes
open access
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.
- DOI
- 10.1016/j.jbankfin.2025.107521
- Volume
- 179
- Pages
- 107521
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib