It often appears that before aggressive selling begins, bids are (fearfully) withdrawn. Naturally, in the absence of support (i.e. demand), price free-falls. But very shortly thereafter, there is aggressive selling (high in volume and effective in extending the auction down). These phenomena are well seen in the price action that followed Friday’s announcement regarding portfolio flows into China. (This was later refuted by a Treasury spokesperson.)
For those interested, the subgraph labeled “Kurtosis” was created based upon studies finding evidence for the existence of power law distributions in variables such as order flow and volume. Crudely speaking a power law is a relation of the form f() = Kxα where x > 0 and K and α are constants. (e.g. α = 2, a proxy for daily price returns …i.e. a std dev of 2%).