Detection of Abnormal Changes in Financial Markets
Professor Hideki Takayasu
Sony Computer Science Laboratories, Japan
Detection of Abnormal Changes in Financial Markets
By analyzing high frequency financial market data we can easily confirm many empirical facts that clearly show deviation from a simple random walk model. A recent remarkable discovery is that buy and sell orders surrounding the market price have a highly correlated layered structure, the inner and outer layers, which shows deep similarity with a colloidal particle suspended in water molecules [Phys. Rev. Lett. 112, 098703,2014]. Based on such physical analogy, we can view abnormality of financial markets as natural consequences of basic properties of materials.
Professor Hideki Takayasu
Sony Computer Science Laboratories, Japan
Detection of Abnormal Changes in Financial Markets
By analyzing high frequency financial market data we can easily confirm many empirical facts that clearly show deviation from a simple random walk model. A recent remarkable discovery is that buy and sell orders surrounding the market price have a highly correlated layered structure, the inner and outer layers, which shows deep similarity with a colloidal particle suspended in water molecules [Phys. Rev. Lett. 112, 098703,2014]. Based on such physical analogy, we can view abnormality of financial markets as natural consequences of basic properties of materials.
Home |
Calls |
Programme |
Registration |
Contact |
Copyright CCS © 2016
