Figure 1 : Ultrafast extreme events (UEEs).

From: Abrupt rise of new machine ecology beyond human response time

Figure 1

(A) Crash. Stock symbol is ABK. Date is 11/04/2009. Number of sequential down ticks is 20. Price change is −0.22. Duration is 25 ms (i.e. 0.025 seconds). The UEE duration is the time difference between the first and last tick in the sequence of jumps in a given direction. Percentage price change downwards is 14% (i.e. crash size is 0.14 expressed as a fraction). (B) Spike. Stock symbol is SMCI. Date is 10/01/2010. Number of sequential up ticks is 31. Price change is + 2.75. Duration is 25 ms (i.e. 0.025 seconds). Percentage price change upwards is 26% (i.e. spike size is 0.26 expressed as a fraction). Dots in price chart are sized according to volume of trade. (C) Cumulative number of crashes (red) and spikes (blue) compared to overall stock market index (Standard & Poor's 500) in black, showing daily close data from 3 Jan 2006 until 3 Feb 2011. Green horizontal lines show periods of escalation of UEEs. Non-financials are dashed green horizontal lines, financials are solid green. 20 most susceptible stock (i.e. most UEEs) are shown in ranked order from bottom to top, with Morgan Stanley (MS) having the most UEEs.