US regulators ask DOE lab to study flash-crash forecasting tool
US regulators enlist Department of Energy computing power to analyse metric that aims to predict catastrophic market events
A US Department of Energy (DOE)-funded research lab has been analysing a tool designed to forecast flash crashes, with a view to developing preventive regulation. The Lawrence Berkeley National Laboratory – which belongs to the DOE but is managed by the University of California – was introduced to the tool by a US market regulator.
The lab conducted research assessing the ability of the volume-weighted probability of informed trading (VPIN) metric to predict sharp price drops in index and single
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