early warning systems / power law / insurance sales / real estate credit bubble / /
Organization
Senate Committee on Banking and Currency / University of Maryland / College Park / Commodity Futures Trading Commission / U.S. Securities and Exchange Commission / Robert H. Smith School of Business / U.S. Presidential Task Force on Market Mechanisms / US Federal Reserve / /
Person
Bouchaud / Anna A. Obizhaeva / Albert S. Kyle / George Soros / / /
Position
institutional asset manager / linear impact model of Kyle / transition manager / rogue trader / dealer / Farmer / theoretical model of Kyle / linear price impact model / broker / model of Kyle / /
Large Bets and Stock Market Crashes Albert S. Kyle and Anna A. Obizhaeva∗ First Draft: March 5, 2012 This Draft: July 3, 2013 For five stock market crashes, we compare price declines with predictions from market micr