Table of Links
Abstract, Acknowledgements, and Statements and Declarations
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Background and Related Work
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2010 Flash Crash Scenarios and 5.1 Simulating Historical Flash Crash
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Mini Flash Crash Scenarios and 6.1 Introduction of Spiking Trader (ST)
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Conclusion and Future Work
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Appendices
A Descriptions for All Model Parameters
B Values for Fixed Model Parameters in Calibration
C Values for Model Parameters in 2010 Flash Crash Simulation
Authors:
(1) Kang Gao, Department of Computing, Imperial College London, London SW7 2AZ, UK and Simudyne Limited, London EC3V 9DS, UK ([email protected]);
(2) Perukrishnen Vytelingum, Simudyne Limited, London EC3V 9DS, UK;
(3) Stephen Weston, Department of Computing, Imperial College London, London SW7 2AZ, UK;
(4) Wayne Luk, Department of Computing, Imperial College London, London SW7 2AZ, UK;
(5) Ce Guo, Department of Computing, Imperial College London, London SW7 2AZ, UK.
This paper is available on arxiv under CC BY-NC-ND 4.0 DEED license.
