15 November 2021
Entropy Young Scientist Award for CCS2021-Satellite on Econophysics 2021—Winner Announced
We are pleased to announce that the Young Scientist Award, sponsored by Entropy for CCS2021-Satellite on Econophysics 2021, was granted to Dr. Jeremy D. Turiel, from University College London. Congratulations!
“Self-Organised Criticality in High-Frequency Finance: The Case of Flash Crashes”
With the rise of computing and artificial intelligence, advanced modeling and forecasting has been applied to High-Frequency markets. A crucial element of solid production modeling though relies on the investigation of data distributions and how they relate to modeling assumptions. In this work, we investigate volume distributions during anomalous price events and show how their tail exponents <2 indicate a diverging second moment of the distribution, i.e., variance. We then tie the dynamics of flash crashes to self-organised criticality. The findings are of great relevance for regulators and market makers as they advocate for rigorous heavy-tailed modeling of risks and changes in regulation to avoid simultaneous liquidity withdrawals and hard risk constraints which lead to synchronisation and critical events.
