Why do stocks fall so quickly? China's market is down 40% in the past month ,for example. But when you look at charts of individual stocks, you see many instances of stocks giving up months of weeks of gains on very little relative volume and in a very small duration of time.
The question is why does this happen, besides the predictable 'greed/fear' explanation, which does not take into account market micro structure.
My belief that is on longer time-frames while the stock market does exhibit the classic GBM zig-zags, when you zoom in much closer there are lots of jumps which when can reduced to fundamental discrete units, violating self-similarity. The discretization of the microstructure causes huge swings in the short-run, but over the longer-run it smooths out.