In this work we present a methodology to detect rare events which are defined as large price movements relative to the volume traded. We analyze the behavior of equity after the detection of these rare events. We provide methods to calibrate trading rules based on the detection of these events...

Liquidity is one of the crucial factors in economy which reflects smooth operation of the markets. In a liquid market, traders are able to transact large quantities of security quickly with minimal trading cost and price impact. Many researchers have investigated the relationship between market...