Self-organised criticality in high frequency finance: the case of flash crashes

Jeremy D. Turiel and Tomaso Aste

Papers from arXiv.org

Abstract: With the rise of computing and artificial intelligence, advanced modeling and forecasting has been applied to High Frequency markets. A crucial element of solid production modeling though relies on the investigation of data distributions and how they relate to modeling assumptions. In this work we investigate volume distributions during anomalous price events and show how their tail exponents

Date: 2021-10
New Economics Papers: this item is included in nep-big, nep-mst and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2110.13718

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