Flash Crashes, Market Instability

Flash Crashes: The Role Of Information Processing Based Subordination And The Cauchy Distribution In Market Instability

Flash Crashes: The Role Of Information Processing Based Subordination And The Cauchy Distribution In Market Instability

Edgar Parker Jr.
New York Life Insurance Company

July 15, 2016

Abstract:

While a wide variety of hypotheses have been offered to explain the anomalous market phenomena known as a “Flash Crash”, there is as of yet no consensus among financial experts as to the sources of these sudden market collapses. In contrast to the behavior expected from standard financial theory, both the equity and . . .

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