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.
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