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research linking Black-Scholes computer algorithms & "flash crashes"?
Posted on 4/28/12 at 5:34 pm
Posted on 4/28/12 at 5:34 pm
i'm trying to research the role of computer modeling in the market crashes of 1987 & 2010, and i was wondering if there was anywhere to look into the mathematical deficiencies of the programmers' models.
this link LINK gives a good overview of a VPIN measure to explain 2010
this LINK shows how to extend VIX measures to before its 1993 launch.
but where can i look for places that identify the flaws in some of the specific models used by quants??
this link LINK gives a good overview of a VPIN measure to explain 2010
this LINK shows how to extend VIX measures to before its 1993 launch.
but where can i look for places that identify the flaws in some of the specific models used by quants??
Posted on 4/29/12 at 8:08 am to Dapper Prince
Its deficiences lie in its neglect of understanding human beings. See Long Term Capital...Greenwich, CT late 1990s and Russian default, as a case in point.
Human emotion coefficient was missed...
Human emotion coefficient was missed...
Posted on 4/29/12 at 4:56 pm to Sternocleidomastoid
Not really the same thing as what OP is talking about.
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