Seminar 217, Risk Management: Could Probability of Informed Trading Predict Market Volatility?

Seminar 217, Risk Management: Could Probability of Informed Trading Predict Market Volatility?

Risk Seminar
Apr 19, 2018, 12:30 PM - 02:00 PM | 1011 Evans Hall | Happening As Scheduled
Speaker: John Wu, LBL (Speaker - Featured)
Significant market events such as Flash Crash of 2010 undermine the trust of the capital market system. An ability to forecast such events would give market participants and regulators time to react to such events and mitigate their impact. For this reason, there have been a number of attempts to develop early warning indicators. In this work, we explore one such indicator named Probability of...