Thesis icon

Thesis

Understanding flash crash contagion and systemic risk: a calibrated agent-based approach

Abstract:

The global financial system is a sociotechnological complex network, in which millions of economic agents interact over timescales ranging from months to milliseconds. The decade since the near-collapse of this system has been characterised by the meteoric rise of computerised algorithmic trading. This transition has resulted in markets that are vulnerable to new forms of systemic risk, as exemplified by the Flash Crash of May 2010, and related events. The failure of extant models to predi...

Expand abstract

Actions


Access Document


Files:

Authors


More by this author
Division:
MPLS
Department:
Computer Science
Role:
Author

Contributors

Institution:
University of Oxford
Division:
MPLS
Department:
Computer Science
Role:
Supervisor
Institution:
University of Oxford
Division:
MPLS
Department:
Computer Science
Role:
Supervisor
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford
Language:
English
Keywords:
UUID:
uuid:929fa3fe-4e5f-4cef-ad9f-03eb40110818
Deposit date:
2020-05-06

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP