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The Canonical Econophysics Approach To The Flash Crash Of May 6, 2010, Joao Mazzeu, Thiago Otuki, Sergio Da Silva
The Canonical Econophysics Approach To The Flash Crash Of May 6, 2010, Joao Mazzeu, Thiago Otuki, Sergio Da Silva
Sergio Da Silva
We carry out a statistical physics analysis of the flash crash of May 6, 2010 using data from the Dow Jones Industrial Average index sampled at a one-minute frequency from September 1, 2009 to May 31, 2010. We evaluate the hypothesis of a non-Gaussian Levy-stable distribution to model the data and pay particular attention to the distribution-tail behavior. We conclude that there is non-Gaussian scaling and thus that the flash crash cannot be considered an anomaly. From the study of tails, we find that the flash crash followed a power-law pattern outside the Levy regime, which was not the inverse …