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research linking Black-Scholes computer algorithms & "flash crashes"?

Posted on 4/28/12 at 5:34 pm
Posted by Dapper Prince
Elysian Fields
Member since Aug 2010
135 posts
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??
Posted by Sternocleidomastoid
La Northshore
Member since Apr 2010
214 posts
Posted on 4/29/12 at 8:08 am to
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...
Posted by kfizzle85
Member since Dec 2005
22022 posts
Posted on 4/29/12 at 4:56 pm to
Not really the same thing as what OP is talking about.
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