  Cross-sectional signatures of market panic were recently discussed on daily
time scales in [1], extended here to a study of cross-sectional properties of
stocks on intra-day time scales. We confirm specific intra-day patterns of
dispersion and kurtosis, and find that the correlation across stocks increases
in times of panic yielding a bimodal distribution for the sum of signs of
returns. We also find that there is memory in correlations, decaying as a power
law with exponent 0.05. During the Flash-Crash of May 6 2010, we find a drastic
increase in dispersion in conjunction with increased correlations. However, the
kurtosis decreases only slightly in contrast to findings on daily time-scales
where kurtosis drops drastically in times of panic. Our study indicates that
this difference in behavior is result of the origin of the panic-inducing
volatility shock: the more correlated across stocks the shock is, the more the
kurtosis will decrease; the more idiosyncratic the shock, the lesser this
effect and kurtosis is positively correlated with dispersion. We also find that
there is a leverage effect for correlations: negative returns tend to precede
an increase in correlations. A stock price feed-back model with skew in
conjunction with a correlation dynamics that follows market volatility explains
our observations nicely.
