Impact and recovery process of mini flash crashes: An empirical study.

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 necessarily due to feedbacks in High Frequency Trading: In at least 60 percent of the observed Ultrafast Extreme Events, the largest fraction of the price change is due to a single market order.