Detection of Abnormal Changes in Financial Markets
Speaker : Professor
Adjunct Professor at Tokyo Institute of Technology in Japan
Chair : Asst Professor Michael Lees
By analyzing high frequency financial market data we can easily confirm many empirical facts that clearly show deviation from a simple random walk model. A recent remarkable discovery is that buy and sell orders surrounding the market price have a highly correlated layered structure, the inner and outer layers, which shows deep similarity with a colloidal particle suspended in water molecules [Phys. Rev. Lett. 112, 098703,2014]. Based on such physical analogy, we can view abnormality of financial markets as natural consequences of basic properties of materials.