Berkeley researchers build flash crash early warning tool
Start-up seeks to commercialise controversial VPIN measure
A group led by Berkeley university researchers has launched a start-up that aims to help traders spot a flash crash before one strikes.
Global AI’s offering, which went live two months ago, relies on a controversial statistical measure known as VPIN – volume-synchronised probability of informed trading – that has been touted as an early warning system for near-instantaneous crashes such as those seen in US equity markets in 2010 or Treasuries in 2014.
The start-up is working with “up to five”
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Asset management
How Man Numeric found SVB red flags in credit data
Network analysis helps quant shop spot concentration and contagion risks
US insurance regulators move to kill CLO arbitrage
Capital charges on collateralised loan obligations will be model-based after 2024
‘Globalisation rewired’: what does it mean for investors?
After half a century of outsourcing production to developing nations, companies are changing tack – with long-term implications for investors
Lawmakers join pushback over SEC dealer rule
Bipartisan letter to Treasury says proposal would damage market liquidity
Stablecoins: good as the buck, or breaking the buck?
Collateral concerns and iffy auditing have raised fears of a ‘de-pegging’ event – and possible contagion across crypto and beyond
Wanted: radical ideas for inflation modelling
Hedge funds echo Mervyn King’s calls for a new approach to inflation modelling post-2022 crisis
Is low vol crowded? That depends who you ask
Equity drawdowns have pushed more investors into low volatility strategies, raising fears of a build-up of risk
UK’s plans to ditch share trading rules threaten liquidity
Asset managers say London’s decision to relax EU equity regime will fragment liquidity – with unpredictable consequences
