In order to investigate the origin of large price fluctuations, we analyze stock price changes of ten frequently traded NASDAQ stocks in the year 2002. Though the influence of the trading frequency on the aggregate return in a certain time interval is important, it cannot alone explain the heavy...

We analyze the memory in volatility by studying volatility return intervals, defined as the time between two consecutive fluctuations larger than a given threshold, in time periods following stock market crashes. Such an aftercrash period is characterized by the Omori law, which describes the...

We analyse large stock price changes of more than five standard deviations for (i) TAQ data for the year 1997 and (ii) order book data from the Island ECN for the year 2002. We argue that a large trading volume alone is not a sufficient explanation for large price changes. Instead, we find that...