V-shapes
提出一种基于漂移爆发检验统计量的方法，通过识别短期V形价格反转来检测闪崩，可作为市场监控工具。
We present a methodology for detecting flash crashes by identifying short-term V-shaped price reversals. Our approach, based on drift burst test statistics, aligns with the SEC’s forensic definition of market access rule violations, highlighting its potential as a market surveillance tool. Flash crashes have become more frequent over the past decade and are typically accompanied by high volumes, high volatility, and an increase in odd-lot trades. They are more likely to occur following periods of high volumes, elevated price impact, low volatility, and heightened algorithmic activity.