We describe an agent-based framework that successfully simulates the key aspects of the
most famous flash crash in history: the Flash Crash of May 6, 2010. In our model, market …

… Tommi Vuorenmaa … Vuorenmaa, "A wavelet analysis of scaling laws and long-memory in
stock market volatility," Proc. SPIE 5848, Noise and Fluctuations in Econophysics and Finance, (…

This article discusses the pros and cons of automated high-frequency trading (HFT). There
appears to be much confusion of whether HFT is “good, bad, or ugly.” In the terminology of …

The non-stationary character of stock market returns manifests itself through the volatility
clustering effect and large jumps. An efficient way of representing a time series with such …

This paper carefully examines the effect of decimalization on volatility and market microstructure
noise. We apply several nonparametric estimators in order to accurately measure …

This paper generalizes the ACD models of Engle and Russell (1998) using the so-called q-Weibull
distribution as the conditional distribution. The new specification allows the hazard …

We study if liquidity on the major US trading venues show significant differences before and
during the financial crisis of 2008. The focus is put on liquidity because of a growing concern …

We propose extensions to the continuous-time random walk (CTRW) framework so far mainly
developed within the econophysics community. Using numerical methods, we extend the …

The rage over high-frequency trading (HFT) and its role in financial markets has not quieted
down. In some respects, the debate has heated up. This commentary letter gives personal …

… Vuorenmaa, Tommi A. Lit and Dark Liquidity with Lost Time Data: Interlinked Trading
Venues around the Global … TA Vuorenmaa, Lit and Dark Liquidity with Lost Time Data …