The aim of this study is verifying the impact of high volatility, scarce liquidity and stop-loss orders on abnormal events like the May 6, 2010 Flash Crash. The paper assumes those three factors to be the main drivers, proposes a mathematical model based upon them and analyses audit trail data to verify whether those factors actually were at the origin of that event. It uses the concept of 'run', an uninterrupted sequence of trades all occurring in the same direction and compares volatility, liquidity and occurrence of stop-loss orders over the analysis period. The results found provide suggestive evidence that a combination of the three factors contributed to the crash. Each of them, taken individually, does not usually lead to extreme behaviours. Even two factors together may not disturb the orderly functioning of the markets but the combination of volatility, scarce liquidity and stop-loss orders may lead to a crisis.

中文翻译：

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你需要三只蝴蝶才能引起飓风

本研究的目的是验证高波动性、稀缺流动性和止损订单对 2010 年 5 月 6 日闪电崩盘等异常事件的影响。本文假设这三个因素是主要驱动因素，提出基于它们的数学模型并分析审计跟踪数据以验证这些因素是否确实是该事件的根源。它使用“运行”的概念，即所有发生在同一方向的不间断交易序列，并比较分析期间的波动性、流动性和止损订单的发生。发现的结果提供了暗示性证据，表明这三个因素的结合导致了坠机。它们中的每一个，单独考虑，通常不会导致极端行为。