3min chapter

Hidden Forces cover image

Quantifying Structural Risk in 'Zombified' Markets | Hari Krishnan & Ash Bennington

Hidden Forces

CHAPTER

The Challenge of Quantitative Impact Models

The main example in the book is the val m edden. That was a case in two thousand and 18 where fixed features in the front month moved from about 15 point x to well over 30 in a single day. The challenge is finding those examples where you can know the size of the agents, know that the a direction thathey're going to have to move in and when, and then come out with e quantitative model. And i think that's really one of the harry's major contributions here. In addition to developing the model, it's finding the data sets that will actuall demonstrate that it is true.

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