Dynamic predictor selection and order splitting in a limit order market
Year of publication: |
2019
|
---|---|
Authors: | Yamamoto, Ryuichi |
Published in: |
Macroeconomic dynamics. - Cambridge : Cambridge Univ. Press, ISSN 1365-1005, ZDB-ID 1412233-9. - Vol. 23.2019, 5, p. 1757-1792
|
Subject: | Agent-Based Modeling | Dynamic Predictor Selection | Fat Tail | Limit Order Market | Order Splitting | Uncorrelated Return | Volatility Clustering | Theorie | Theory | Wertpapierhandel | Securities trading | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Börsenkurs | Share price | Agentenbasierte Modellierung | Agent-based modeling | Kapitaleinkommen | Capital income |
-
An agent-based model of intra-day financial markets dynamics
Staccioli, Jacopo, (2018)
-
A nonlinear structural model for volatility clustering
Gaunersdorfer, Andrea, (2006)
-
Volatility clustering in financial markets : empirical facts and agent-based models
Cont, Rama, (2006)
- More ...
-
Volatility clustering and herding agents: does it matter what they observe?
Yamamoto, Ryuichi, (2011)
-
Strategy Switching in the Japanese Stock Market
Yamamoto, Ryuichi,
-
Yamamoto, Ryuichi,
- More ...