  In this study we examine the evolution of price, volume, and the bid-ask
spread after extreme 15 minute intraday price changes on the NYSE and the
NASDAQ. We find that due to strong behavioral trading there is an overreaction.
Furthermore we find that volatility which increases sharply at the event decays
according to a power law with an exponent of approximately 0.4, i.e., much
faster than the autocorrelation function of volatility.
