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Keynote Lecuture 6

13:30 - 14:15 on 19th Sep 2016

Room M: Effectenbeurszaal

Hideki Takayasu

​Detection of Abnormal Changes in Financial Markets

Speaker : Professor Hideki Takayasu

Adjunct Professor at Tokyo Institute of Technology in Japan​
Chair : Asst Professor Michael Lees
Abstract :
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.