Large Bets and Stock Market Crashes
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- Kang Gao & Perukrishnen Vytelingum & Stephen Weston & Wayne Luk & Ce Guo, 2022. "High-frequency financial market simulation and flash crash scenarios analysis: an agent-based modelling approach," Papers 2208.13654, arXiv.org.
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More about this item
Keywords
Finance; market microstructure; invariance; crashes; liquidity; price impact; market depth; systemic risk;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- N22 - Economic History - - Financial Markets and Institutions - - - U.S.; Canada: 1913-
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2020-09-07 (Financial Markets)
- NEP-MST-2020-09-07 (Market Microstructure)
- NEP-RMG-2020-09-07 (Risk Management)
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