Market Stability through the Lens of Mini-Flash Crashes

I identify more than one thousand mini-flash crashes (MFC) between January 2013 and October 2016 on Australian equities, as well as almost two hundred from May 2010 to October 2010. I characterise their distribution as well as the market conditions before and during the events. I subsequently assess whether autoregressive conditional duration models, various Volume Probability of Informed Trading implementations and large trades are appropriate as MFC leading indicators. I also extend existing price-inventory co-movement and price discovery without trading frameworks to explore contributions to price movements during MFCs.