Record Details

Flash Crashes: The Role of Information Processing Based Subordination and the Cauchy Distribution in Market Instability

Journal of Insurance and Financial Management

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Title Flash Crashes: The Role of Information Processing Based Subordination and the Cauchy Distribution in Market Instability
 
Creator Parker, Edgar
 
Description While a wide variety of hypotheses have been offered to explain the anomalous market phenomena known as a “Flash Crash”, there is as of yet no consensus among financial experts as to the sources of these sudden market collapses.  In contrast to the behavior expected from standard financial theory, both the equity and bond markets have been thrown into freefall in the absence of any significant news event.  The author posits that a combination of probability and information theory, and diffusion dynamics offers a relatively simple explanation of the causes of some of these dramatic events.  This new avenue of research also suggests new policies or measures to lower the probability of occurrence and to mitigate the effects of these extreme events.
 
Publisher Journal of Insurance and Financial Management
 
Contributor —
 
Date 2016-09-13
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journal-of-insurance-and-financial-management.com/index.php/JIFM/article/view/59
 
Source Journal of Insurance and Financial Management; Vol 2, No 2 (2016): Journal of Insurance and Financial Management
2371-2112
 
Language eng
 
Relation https://journal-of-insurance-and-financial-management.com/index.php/JIFM/article/view/59/pdf
 
Rights Copyright (c) 2016 Edgar Parker
http://creativecommons.org/licenses/by/4.0