High frequency trading strategies, market fragility and price spikes : an agent based model perspective
Year of publication: |
2019
|
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Authors: | McGroarty, Frank ; Booth, Ash ; Gerding, Enrico ; Chinthalapati, V. L. Raju |
Published in: |
Application of operations research to financial markets. - New York, NY, USA : Springer. - 2019, p. 217-244
|
Subject: | Agent-based model | MIFiD II | Limit order book | Stylised facts | Algorithmic trading | Agentenbasierte Modellierung | Agent-based modeling | Elektronisches Handelssystem | Electronic trading | Wertpapierhandel | Securities trading | Börsenkurs | Share price | Marktliquidität | Market liquidity | Theorie | Theory | Anlageverhalten | Behavioural finance | Finanzmarkt | Financial market | Volatilität | Volatility | Marktmikrostruktur | Market microstructure |
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