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- The recent years have seen the emergence of a new type of trading called high-frequency trading (HFT), defined as “professional traders acting in a proprietary capacity that engage in strategies that generate a large number of trades on a daily basis” by the U.S. Securities and Exchange Commission (SEC (A), 2010). With its emergence, a number of new issues have been raised and a lot of research started to investigate them, the main topics being the impacts of HFT on market quality measures such as liquidity, price discovery or volatility. Another topic around HFT that was thoroughly studied is its importance in the Flash Crash of the 6th May 2010. On that day, the prices of many U.S. equity products declined and then bounced back in a matter of a few minutes. During the afternoon, major equity indices in the futures and securities markets dropped by 5-6% in a few minutes before recovering to their previous levels. At the same time, nearly all the individual equity securities and exchange traded funds (ETFs) traded experienced decreases in price ranging from 5% to 15% before recovering almost or all their losses in a short period of time. The day finally ended with the futures and securities markets only suffering a drop of 3% in comparison to the previous day’s close. This Flash Crash raised a lot of questions, especially about how such an event could happen. As a result, many studies focused on the subject and accused HFT to be the prime cause of the disaster. Even if Kirilenko et al. (2011) or other researchers proved that HFT did not trigger the Flash Crash but exacerbated it, the question of the impacts caused by the high frequency at which some market participants are trading remains highly discussed. Nevertheless, in November 2010, Nanex Llc., a data analytics company, published a paper that had the effect of a bomb in the financial industry, revealing that so called Mini Flash Crashes were occurring by the thousands each year and on all kind of assets. They can be defined as sudden and extreme price changes that happen over a particularly short period. These are really interesting because, like the Flash Crash, the triggering and effects of those events are not obvious. Unfortunately, literature on the subject is still sparse because it requires super computers and access to large volumes of data in order fully analyze the phenomenon. However, some authors, like Golub et al. (2011) or Johnson et al. (2012), already proved that the exercise was possible to realize and we will try in this paper to add our little piece to the puzzle of Mini Flash Crashes. To do so, we will try to answer the research question: “Is it possible to determine a taxonomy of Mini Flash Crashes?” and if yes, which categories should be included. In order to answer this question, we will deliver two analyses, one qualitative analysis first and then a quantitative one. The qualitative part will give background information as well as a broad literature review around the subjects of the May, 6 Flash Crash and Mini Flash Crashes. Concerning the quantitative part, we will build a database of Mini Flash Crashes from May 2011 to September 2014 that we will analyze using different types of measures and statistics. It will give us insights about which categories should be added to our taxonomy if one is possible. In the end, we will answer our research question and propose a taxonomy for Mini Flash Crashes if the answer is positive. We think it might help future researchers in determining the key factors to which they must turn for their analysis. Furthermore, it might give an insight to regulators on how they could stop these events, by identifying the factors having an influence on the price change or the crash time. The paper is organized as followed: Section 2 presents the background information that is an important foundation for the rest of the paper. Section 3 proposes a broad literature review. Section 4 introduces the data sample and the methodology used for the quantitative part. Section 5 describes the results concerning the measures and statistics. Section 6 answers the research question. Section 7 concludes the thesis and lastly, Section 8 and 9 present respectively the references and the appendixes.