Napoletano, Mauro; Roventini, Andrea; Fagiolo, Giorgio; … - Groupe de REcherche en Droit, Économie, Gestion … - 2014
dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash … that the presence of high-frequency trading increases market volatility and plays a fundamental role in the generation of …We build an agent-based model to study how the interplay between low- and high- frequency trading affects asset price …