Researchers have analyzed the statistical regularities and irregularities in the recent order flow of 96 different NASDAQ stocks. Since prices are strongly correlated during financial crises, they evolve in a way that is similar to what happens to nerve signals during epileptic seizures. The findings contribute to modeling price evolution, and could ultimately be used to evaluate the impact of financial crises.
Key Points
thousands of orders for selling and buying stocks are registered and processed within milliseconds
NASDAQ uses a microscopic modeling for the order flow.
large price changes arise in a sequence, normally ten times larger than the average.
Citation
Springer. "Stock market microstructures: Modeling could help evaluate financial crises: New study of the trading interactions that determine the stock price using AI algorithms reveals unexpected microstructures for stock evolution." ScienceDaily. ScienceDaily, 22 November 2017. <www.sciencedaily.com/releases/2017/11/171122103559.htm>.
Title
Stock market microstructures: Modeling could help evaluate financial crises
URL
https://www.sciencedaily.com/releases/2017/11/171122103559.htm
Summary
Researchers have analyzed the statistical regularities and irregularities in the recent order flow of 96 different NASDAQ stocks. Since prices are strongly correlated during financial crises, they evolve in a way that is similar to what happens to nerve signals during epileptic seizures. The findings contribute to modeling price evolution, and could ultimately be used to evaluate the impact of financial crises.
Key Points
Citation
Springer. "Stock market microstructures: Modeling could help evaluate financial crises: New study of the trading interactions that determine the stock price using AI algorithms reveals unexpected microstructures for stock evolution." ScienceDaily. ScienceDaily, 22 November 2017. <www.sciencedaily.com/releases/2017/11/171122103559.htm>.
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