The canonical econophysics approach to the flash crash of May 6, 2010
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References listed on IDEAS
- Benoit B. Mandelbrot, 2005. "Parallel cartoons of fractal models of finance," Annals of Finance, Springer, vol. 1(2), pages 179-192, October.
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- Da Silva, Sergio, 2014. "Why Not Use Robots to Stabilize Stock Markets?," MPRA Paper 60567, University Library of Munich, Germany.
- Demos, Guilherme & Da Silva, Sergio & Matsushita, Raul, 2015. "Some Statistical Properties of the Mini Flash Crashes," MPRA Paper 65473, University Library of Munich, Germany.
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Keywordsflash crash; econophysics; stable distribution; extreme events;
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- G01 - Financial Economics - - General - - - Financial Crises
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-05 (All new papers)
- NEP-ECM-2011-03-05 (Econometrics)
- NEP-HME-2011-03-05 (Heterodox Microeconomics)
- NEP-RMG-2011-03-05 (Risk Management)
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