Thesis
Understanding flash crash contagion and systemic risk: a calibrated agent-based approach
- Abstract:
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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...
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(Preview, Dissemination version, pdf, 3.8MB, Terms of use)
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Authors
Contributors
+ Calinescu, A
- Institution:
- University of Oxford
- Division:
- MPLS
- Department:
- Computer Science
- Role:
- Supervisor
+ Wooldridge, M
- Institution:
- University of Oxford
- Division:
- MPLS
- Department:
- Computer Science
- Role:
- Supervisor
- DOI:
- Type of award:
- DPhil
- Level of award:
- Doctoral
- Awarding institution:
- University of Oxford
- Language:
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English
- Keywords:
- UUID:
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uuid:929fa3fe-4e5f-4cef-ad9f-03eb40110818
- Deposit date:
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2020-05-06
- ARK identifier:
Terms of use
- Copyright holder:
- Paulin, J
- Copyright date:
- 2019
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