3.1.1 Parameters to test

Here are the parameters we will test:

<sup>1</sup> This is not perfect because we can still miss some crashes (whereas in this data set, it will not be that much, and it will be with a smaller probability), but first we do not want to change too much the definition in time of a flash crash (we will not increase the tolerance level to 1 day), and second this problem is inherent to the fact that fixing volume of bars and of buckets prevents us from controlling precisely filling bar and bucket times. Finding a solution for this precise data set does not guarantee at all a general solution neither for one data set nor for a financial instrument.

