Within a financial market where a risk-free bond and a long-lived risky asset are exchanged by investors with heterogeneous trading rules, we assume that the investors most exposed to the risky asset are subject to joint liquidation needs. The latter encompass a risk whenever the market impact...

We study the co-evolution of asset prices and individual wealth in a financial market populated by an arbitrary number of heterogeneous, boundedly rational agents. Using wealth dynamics as a selection device we are able to characterize the long run market outcomes, i.e. asset returns and wealth...

We investigate the effects of different regulatory policies directed towards high-frequency trading (HFT) through an agent-based model of a limit order book able to generate flash crashes as the result of the interactions between low- and high-frequency (HF) traders. We analyze the impact of the...

We propose a parsimonious agent-based model of a financial market at the intra-day time scale that is able to jointly reproduce many of the empirically validated stylised facts. These include properties related to returns (leptokurtosis, absence of linear autocorrelation, volatility clustering),...

Gernot Hinterleitner und Philipp Hornung verbinden über ein wirtschaftswissenschaftliches Experiment zwei Gebiete der Finanzmarktforschung. Zuerst wird die Marktqualität unterschiedlicher Handelsformen analysiert, anschließend wird der Insiderhandel innerhalb dieser Marktformen betrachtet....

Mit der Finanzkrise ist auch die klassische ökonomische Theoriebildung in eine Krise geraten: In effizienten Märkten sollte es eigentlich keine Asset-Blasen und Börsencrashs geben. Als interdisziplinärer Ansatz der Wirtschaftswissenschaften und der Physik besteht der Anspruch der...

We build an agent-based model to study how the interplay between low- and high- frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash crashes. In the model, low-frequency agents adopt...

The paper compares the properties of market dynamics, under different trading protocols. At an empirical level, we present some evidence stemming from the comparison between different intra-daily trade regimes within the world largest Stock Exchanges. Such evidence also motivates the...

This book offers a look at equity markets and what they have experienced since the 1997 Order Handling Rules were instituted. Specifically, it examines the tremendous technology innovation, intensified competition between an expanding set of alternative trading venues, and continuing regulatory...

As technology advancement has increased, so to have computational applications for forecasting, modelling and trading financial markets and information, and practitioners are finding ever more complex solutions to financial challenges. Neural networking is a highly effective, trainable...