Modelling the catastrophe of a crash in the financial markets

Summary

Crashes in the financial markets have a staggering impact on the social and economic health of a country but we still have very little understanding of their causes and how they spread to other markets. This project will explore market crashes by comparing their dynamics to the dynamics of phase transitions studied in physics, for example where water rapidly transforms into ice, so too does a stable financial market transform into … something very different! This aspect of market dynamics is very poorly understood and we hope to better understand the underlying mechanisms through a combination of data analysis, simulation and mathematical formulation.

Supervisor(s)

Dr Michael Harre

Research Location

Civil Engineering

Program Type

Masters/PHD

Synopsis

This project will use a large database of high frequency financial trades from within a given market in order to understand what the internal and external drivers of crashes might be.

Additional Information

Proficiency in programming and data analysis is necessary, as well as a high level of mathematical skill.

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Keywords

Econo-physics, Information Theory, Market Crash, Phase transitions

Opportunity ID

The opportunity ID for this research opportunity is: 1860

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