The Computational Finance Lab is a joint venture of the University of Vermont and The MITRE Corporation. Its purpose is to study modern financial markets from a systems perspective using the tools of statistical physics, systems engineering, and data science. Its major research foci are empirical market microstructure and agent-based modeling of financial markets. You can learn more about our group here.
We're in the Wall Street Journal! The article Brief Price Gaps in Stocks Cost Investors $2 Billion a Year covers two of our working papers: "Fragmentation and Inefficiencies in the U.S. Equity Markets: Evidence from the Dow 30" and "Scaling of inefficiencies in the U.S. equity markets: Evidence from three market indices and more than 2900 securities" you can find more information about our work on the research page.
The National Market System, colloquially known as the "stock market" is more complex than many realize (click image for more details). The image is Figure 3 from "Fragmentation and Inefficiencies in the U.S. Equity Markets: Evidence from the Dow 30".
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