Risk research: Systemic risk arising from computer based trading and connections to the empirical literature on systemic risk

Systemic risk arising from computer based trading and connections to the empirical literature on systemic risk

Danielsson, J. and I. Zer (2012, May). Systemic risk arising from computer based trading and connections to the empirical literature on systemic risk. Technical report.

A review commissioned as part of the UK Government's Foresight Project, The Future of Computer Trading in Financial Markets.

@TECHREPORT{DanielssonZer2012,
	title={Systemic risk arising from computer based trading and connections to the empirical literature on systemic risk},
	author={J{\'o}n Dan{\'i}elsson and Ilknur Zer},
	month=may,
	year=2012,
	abstract={A review commissioned as part of the UK Government's Foresight Project, The Future of Computer Trading in Financial Markets.},
}

Fat tails, {VaR} and subadditivity

Regime switches in the volatility and correlation of financial institutions