Sequential Detection of Market Shocks With Risk-Averse CVaR Social Sensors.

This paper considers a statistical signal processing problem involving agent-based models of financial markets, which at a microlevel are driven by socially aware and risk-averse agents. These agents trade (buy or sell) stocks at each trading instant by using the decisions of all previous agents (social learning) in addition to a private (noisy) signal they receive on the value of the stock. We ar...