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. 2015 Oct 8;10(10):e0139356. doi: 10.1371/journal.pone.0139356

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© 2015 Donier, Bouchaud

This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are properly credited.

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Fig 4 — For the 14 most extreme negative returns that have occurred between Jan 1, 2013 and Apr 10, 2013, we compare the realised return with: (Left) the net imbalance $𝒪_{B}$ during the period (usually a few hours) and (Right) the liquidity-adjusted imbalance $ℒ_{OB}^{- 1} (𝒪_{B})$ . This illustrates the relevance of the $ℒ_{OB}$ liquidity measure to predict the amplitudes of crashes—even in the most extreme cases.