英文标题：
《Impact and Recovery Process of Mini Flash Crashes: An Empirical Study》
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作者：
Tobias Braun, Jonas A. Fiegen, Daniel C. Wagner, Sebastian M. Krause,
  Thomas Guhr
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最新提交年份：
2017
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英文摘要：
  In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extreme Events in stock market data. In contrast to popular belief, our analysis suggests that most of the Ultrafast Extreme Events are not primarily due to High Frequency Trading. In at least 60 percent of the observed Ultrafast Extreme Events, the main cause for the events are large market orders. In times of financial crisis, large market orders are more likely which can be linked to the significant increase of Ultrafast Extreme Events occurrences. Furthermore, we analyze the 100 trades following each Ultrafast Extreme Events. While we observe a tendency of the prices to partially recover, less than 40 percent recover completely. On the other hand we find 25 percent of the Ultrafast Extreme Events to be almost recovered after only one trade which differs from the usually found price impact of market orders.
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中文摘要：
在超快极端事件（或迷你闪电崩盘）中，交易股票的价格在毫秒内大幅上涨或下跌。我们对股市数据中的超快极端事件进行了详细研究。与普遍的看法相反，我们的分析表明，大多数超快极端事件并非主要由高频交易引起。在所观察到的至少60%的超快极端事件中，事件的主要原因是巨大的市场订单。在金融危机时期，更可能出现大额市场订单，这可能与超快极端事件发生的显著增加有关。此外，我们还分析了每个超快极端事件之后的100笔交易。虽然我们观察到价格有部分恢复的趋势，但完全恢复的不到40%。另一方面，我们发现25%的超快极端事件在一次交易后几乎恢复，这与通常发现的市场订单价格影响不同。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Physics        物理学
二级分类：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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