V-shapes

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2025-08-07 DOI:10.1016/j.jbankfin.2025.107521

Maria Flora , Roberto Renò

引用次数: 0

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.

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v字形

我们提出了一种通过识别短期v形价格反转来检测闪电崩盘的方法。我们的方法基于漂移爆发测试统计数据，符合美国证券交易委员会对市场准入违规行为的法医定义，突出了其作为市场监督工具的潜力。在过去十年中，闪电崩盘变得越来越频繁，通常伴随着高交易量、高波动性和奇数手交易的增加。它们更有可能发生在高交易量、高价格影响、低波动性和高算法活动的时期。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.