  Oft-cited causes of mini-flash crashes include human errors, endogenous
feedback loops, the nature of modern liquidity provision, fundamental value
shocks, and market fragmentation. We develop a mathematical model which
captures aspects of the first three explanations. Empirical features of recent
mini-flash crashes are present in our framework. For example, there are periods
when no such events will occur. If they do, even just before their onset,
market participants may not know with certainty that a disruption will unfold.
Our mini-flash crashes can materialize in both low and high trading volume
environments and may be accompanied by a partial synchronization in order
submission.
  Instead of adopting a classically-inspired equilibrium approach, we borrow
ideas from the optimal execution literature. Each of our agents begins with
beliefs about how his own trades impact prices and how prices would move in his
absence. They, along with other market participants, then submit orders which
are executed at a common venue. Naturally, this leads us to explicitly
distinguish between how prices actually evolve and our agents' opinions. In
particular, every agent's beliefs will be expressly incorrect.
