Table 5 Large price movements within a run on May 6, 2010
From: A theory of very short-time price change: security price drivers in times of high-frequency trading
Delta price | 4.50 | 4.00 | 3.50 | 3.25 | 2.75 | 2.50 | 2.25 | 1.75 | 1.75 | 1.50 | 1.25 |
|---|---|---|---|---|---|---|---|---|---|---|---|
Occurrences | 1 | 1 | 1 | 2 | 1 | 2 | 3 | 3 | 6 | 9 | 9 |