Mark Wang

Mark  Wang
MIT EECS Lal Undergraduate Research and Innovation Scholar
Advisor: Alan Edelman
Department: Electrical Engineering and Computer Science
Areas of Research: Theory of Computer Science
Years: 2016-2017
abstract:

Analysis of Flash Crashes in Economic Data

The purpose of the research project is to analyze a large database of the New York stock exchange data (with a size of 14.5 terabytes) in order to detect financial irregularities. Of particular interest is a "flash crash" a phenomenon in which there is a very deep and volatile fall in stock prices within an extremely short period of time. These crashes can be evidence of quasi-legal trading practices such as quote stuffing or spoofing. The project will focus on developing and implementing a program which can detect these extreme fluctuations in order to determine how common flash crashes are as well as to determine if there are correlations between flash crashes.
About:

My name is Mark and I am a computer science major. I am prepared for the research by the classes I have taken at MIT as well as an UROP research project at the Julia Lab. Through the UROP I got acquainted with the lab and with large data sets. I hope to learn about clever ways to mine a data set. What I find exciting about the project is its flexibility and independence as well as a change to deal with so much data.