COVID-19 and the Equity Market. A March 2020 Tale

13 Pages Posted: 3 Apr 2020

See all articles by Ziwen Ye

Ziwen Ye

Stevens Institute of Technology

Ionut Florescu

Stevens Institute of Technology - School of Business; Stevens Institute of Technology

Date Written: March 30, 2020

Abstract

In March 2020 the U.S. equity market is suffering large losses. This is primarily due to COVID-19, which probably also caused a drop in the shale oil price. US market indices are fluctuating this month much more than any time in history. In this short note, we are using two high frequency market measures we developed in our past work to create a market wide indicator we call Number of Detected Anomalies (NoDA). NoDA is a market-wide signal focused on analyzing intraday trading activity in the US equity markets. Although the cause of the current market event is very different from anything we have seen before, the market participants seem to take a typical attitude to unpredictable events, one of expectation and price discovery. In this work we are able to analyze specific public historical events and determine market reaction as measured by the NoDA indicator.

Keywords: High frequency data, Rare event detection, Market crash, Limit order book

JEL Classification: C5, G1

Suggested Citation

Ye, Ziwen and Florescu, Ionut, COVID-19 and the Equity Market. A March 2020 Tale (March 30, 2020). Available at SSRN: https://ssrn.com/abstract=3566281 or http://dx.doi.org/10.2139/ssrn.3566281

Ziwen Ye

Stevens Institute of Technology ( email )

Hoboken, NJ 07030
United States
07030 (Fax)

Ionut Florescu (Contact Author)

Stevens Institute of Technology - School of Business ( email )

Hoboken, NJ 07030
United States

Stevens Institute of Technology ( email )

Castle Point on the Hudson
Hoboken, NJ 07030
United States

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