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
7.2 Future Work
During the 2010 Flash Crash, there are lots of cross-market arbitrageurs who transferred the selling pressure to the equities markets by opportunistically buying E-Mini contracts and simultaneously selling products like SPY. This cross-market mechanism has not yet been implemented in our agent-based modelling framework. One future direction is to implement simulated markets for two correlated securities and explore the contagion during stressed scenarios. Another extension is to use the proposed agent-based financial market simulation framework for examining how regulatory policy interventions could influence the current market dynamics. For example, whether a circuit breaker in the market would help stabilize financial markets and curb the severity of flash crash scenarios. Last but not the least, an examination of possible indicators of an imminent flash crash event is another interesting future extension of this work.
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.
