Data from: Why do markets crash? Bitcoin data offers unprecedented insights

Crashes have fascinated and baffled many canny observers of financial
markets. In the strict orthodoxy of the efficient market theory, crashes
must be due to sudden changes of the fundamental valuation of assets.
However, detailed empirical studies suggest that large price jumps cannot
be explained by news and are the result of endogenous feedback loops.
Although plausible, a clear-cut empirical evidence for such a scenario is
still lacking. Here we show how crashes are conditioned by the market
liquidity, for which we propose a new measure inspired by recent theories
of market impact and based on readily available, public information. Our
results open the possibility of a dynamical evaluation of liquidity risk
and early warning signs of market instabilities, and could lead to a
quantitative description of the mechanisms leading to market crashes.