Wes Bethel

University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)

1 Cyclotron Road

Berkeley, CA 94720

United States

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 13,671

SSRN RANKINGS

Top 13,671

in Total Papers Downloads

3,413

CITATIONS
Rank 28,757

SSRN RANKINGS

Top 28,757

in Total Papers Citations

8

Scholarly Papers (3)

1.

Federal Market Information Technology in the Post Flash Crash Era: Roles for Supercomputing

Number of pages: 22 Posted: 07 Oct 2011
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,599 (10,184)
Citation 7

Abstract:

Loading...

VPIN, flash crash, liquidity, flow toxicity, market microstructure, probability of informed trading, circuit breakers, market fragmentation

2.

A Big Data Approach to Analyzing Market Volatility

Algorithmic Finance (2013), 2:3-4, 241-267
Number of pages: 28 Posted: 07 Jun 2013
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,464 (11,738)
Citation 1

Abstract:

Loading...

high-performance computing, market microstructure, probability of informed trading, VPIN, liquidity, flow toxicity, volume imbalance, flash crash

3.

Testing VPIN on Big Data – Response to 'Reflecting on the VPIN Dispute'

Number of pages: 3 Posted: 31 Aug 2013
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 350 (83,058)

Abstract:

Loading...

false positive rate, probability of informed trading, VPIN