Revisiting the trading activity of high-frequency trading firms around ultra-fast flash events by Christophe Desagre, Floris Laly, Mikael Petitjean

“…Abstract We investigate high-frequency traders’ behavior in the context of the fastest and most extreme price movements (EPMs) that can be observed in the market, specifically ultra-fast flash events, challenging the methodologies employed in the academic and practitioner literature for identifying sudden liquidity black holes. To refine the price-shock identification methodology, we introduce a new approach called sequence-based flash events (SFEs), which relies on tick sequences instead of predetermined fixed-time intervals within which all flash events in the sample are assumed to occur. …”
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