The Flash Crash and High Frequency Trading

William T Ziemba

Chapter 25 in The Adventures of a Modern Renaissance Academic in Investing and Gambling, 2017, pp 275-281 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In the fall of 2014, I was visiting the London School of Economics, which I do once or twice a year for a month or so. Besides having great resident academics they have an extraordinary strong connection to the very sophisticated London financial and political world. This combination is the best of all the universities I have visited. Though I have had extraordinary experiences at other universities as well, a few are standouts: Chicago Booth has the best research atmosphere, Berkeley and Stanford are the most pleasant, MIT has its fame but brutal weather and Oxford students were the best. Possibly the best single class was at the University of Zurich in 2003 where I had 10 really top students from across the country including the neighboring powerhouse ETH in an asset-liability management course…

Keywords: Financial History; Risk Management; Investment Strategies; Mean Reversion; Risk Arbitrage; Management of Assets (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2017
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