market microstructure

Understanding Extreme Market Behavior: The Efficient Tail Hypothesis

2 min read ·
A new study by researchers Junshu Jiang, James Richards, Raphaël Huser, and David Bolin introduces the Efficient Tail Hypothesis (ETH), an analogue of the Efficient Market Hypothesis focused on extreme events in financial markets. Drawing on extreme value theory, the team developed a novel statistical measure to evaluate whether asset markets remain informationally efficient even during rare, extreme fluctuations. Their findings not only challenge conventional wisdom on market efficiency but also open the door to identifying potential opportunities (and risks) that emerge during market

David Evangelista

David Evangelista is a Ph.D. Candidate at King Abdullah University of Science and Technology (KAUST), working in the areas of partial differential equations, mean-field games (MFG), and market microstructure. He is expect to receive a Ph.D. from KAUST in June 2019, under the direction of Professor Diogo A. Gomes. David's research interests are in optimal control theory, nonlinear partial differential equations, MFG, and market microstructure. MFG is a framework to study interactions of a large number of indistinguishable players that play differential games. MFG has become an active research