An agent based model of the E-Mini S&P 500 applied to flash crash analysis

Mark E. Paddrik, Roy Hayes, Andrew Todd, Steve Yang, Peter Beling, William Scherer. An agent based model of the E-Mini S&P 500 applied to flash crash analysis. In Proceedings of the 2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics, CIFEr 2012, New York City, NY, USA, March 29-30, 2012. pages 1-8, IEEE, 2012. [doi]

Abstract

Abstract is missing.