Micro Flash Crashes 2006-2011

We have analyzed all listed equities for 2006, 2007, 2008, 2009 and 2010 for potential “mini crashes” in individual stocks. We were surprised at the number of incidents we found.

Parameters used:

1. To qualify as a down-draft candidate, the stock had to tick down at least 10 times before ticking up — all within 1.5 seconds and the price change had to exceed 0.8%.
2. To qualify as a up-draft candidate, the stock had to tick up at least 10 times before ticking down — all within 1.5 seconds and the price change had to exceed 0.8%.

Because there are so many of these instances, showing all the individual charts on a page would simply be to unwieldy. Instead, we are providing ZIP archives for each year analyzed. Simply download the files, unzip and start viewing. We also made 10 pages with 10 sample images from each year (both down drafts and up drafts) for you to view now.

An explanation of the chart components can be found by Clicking Here.

Reg NMS:

Regulation NMS was implemented in 2007. For an exact timeline of the implementation phases, please see:

SIFMA Regulation NMS Implementation Timeline.

Many exchanges had completed implementation prior to the required dates. Consider the NYSE Hybrid Market rollout:

Hybrid Phase III – COMPLETED rollout January 24, 2007
Hybrid Phase IV – COMPLETED rollout February 27, 2007

Note that prior to Feb 2007, the NYSE had never been a reporting exchange in any incident.