The Anatomy of a Flash Crash, Modeled to the Millisecond
Table of Links Abstract, Acknowledgements, and Statements and Declarations Introduction Background and Related Work 2.1 Agent-based Financial Market simulation 2.2 Flash Crash Episodes Model Structure and 3.1 Model Set-up 3.2 Common Trader Behaviours 3.3 Fundamental Trader (FT) 3.4 Momentum Trader (MT) 3.5 Noise Trader (NT) 3.6 Market Maker (MM) 3.7 Simulation Dynamics Model Calibration and … Read more