Wes Bethel

Lawrence Berkeley National Laboratory

1 Cyclotron Road

Berkeley, CA 94720

United States

SCHOLARLY PAPERS

3

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3,129

CITATIONS
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Top 28,829

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
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 1,494 (8,254)
Citation 7

Abstract:

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
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 1,028 (11,377)
Citation 1

Abstract:

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
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 286 (74,394)

Abstract:

false positive rate, probability of informed trading, VPIN