Sharp Crash

Definition

A market regime characterized by a concentrated downside dislocation event. Operational gating: peak-to-trough drawdown ≥ 20% within a single rolling 30-day window AND realized volatility during that crash window ≥ 1.5× the asset's normal-window vol. Sub-classification (descriptive, not gating): tail-intensified (excess kurtosis ≥ 1.5 OR daily-return 1st percentile ≤ -3%) versus broad-distribution. Drawdown range across anchor cases is typically 20-55%; recovery within the case window is permitted. The definition captures observable price dynamics — microstructure effects (liquidity, gap-structure, order-book stress) are not directly modeled and are covered separately by LIQUIDITY_STRESS.