PhD Candidate - Financial Computing and Analytics Group, UCL
AVP, Barclays Investment Bank
Conference Day One: 16 September 2019
Monday, September 16th, 2019
Order book and market event data is a predominant example of a complex system with heterogenous users. We present a very recent work applying statistical physics methods to market microstructure and high frequency trading. We apply methods and approaches from statistical physics to build dynamic null models of market event flow in time. These well-defined distributions are successfully applied to predict flash crashes with minor false positive rates and timely-leading predictive power. We also explore applications to active high frequency trading and build profitable strategies based on market anomalies and imbalances from our null model.