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Multiple markets, algorithmic trading, and market liquidity
Upson, James; Van Ness, Robert A. - In: Journal of financial markets 32 (2017), pp. 49-68
Persistent link: https://www.econbiz.de/10011814965
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High frequency trading strategies, market fragility and price spikes : an agent based model perspective
McGroarty, Frank; Booth, Ash; Gerding, Enrico; … - In: Application of operations research to financial markets, (pp. 217-244). 2019
Persistent link: https://www.econbiz.de/10012157446
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The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
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An agent-based model of intra-day financial markets dynamics
Staccioli, Jacopo; Napoletano, Mauro - 2018
of linear autocorrelation, volatility clustering), trading volumes (volume clustering, correlation between volume and … volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tail in …
Persistent link: https://www.econbiz.de/10011863031
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An agent-based model of intra-day financial markets dynamics
Staccioli, Jacopo; Napoletano, Mauro - In: Journal of economic behavior & organization : JEBO 182 (2021), pp. 331-348
Persistent link: https://www.econbiz.de/10012598343
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The impact of algorithmic trading in a simulated asset market
Mukerji, Purba; Chung, Christine; Walsh, Timothy; Xiong, Bo - In: Journal of risk and financial management : JRFM 12 (2019) 2/68, pp. 1-11
level of market uncertainty and the degree of algorithmic versus human trading. Our results show that liquidity increases … initially as AT rises to about 10% share of the market; beyond this point, liquidity increases only marginally. Statistical …
Persistent link: https://www.econbiz.de/10012022150
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Research on the effects of liquidation strategies in the multi-asset artificial market
Luo, Qixuan; Song, Shijia; Li, Handong - In: Computational economics 62 (2023) 4, pp. 1721-1750
Persistent link: https://www.econbiz.de/10014437570
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Trading and ordering patterns of market participants in high frequency trading environment : empirical study in the Japanese stock market
Saito, Taiga; Adachi, Takanori; Nakatsuma, Teruo; … - In: Asia-Pacific financial markets 25 (2018) 3, pp. 179-220
Persistent link: https://www.econbiz.de/10012033008
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Algorithmic trading efficiency and its impact on market-quality
Dubey, Ritesh Kumar; Babu, A. Sarath; Jha, Rajneesh Ranjan - In: Asia Pacific financial markets 29 (2022) 3, pp. 381-409
Persistent link: https://www.econbiz.de/10013397503
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Evidence of algorithmic trading from Indian equity market : interpreting the transaction velocity element of financialization
Dubey, Ritesh Kumar; Chauhan, Yogesh; Syamala, … - In: Research in international business and finance 42 (2017), pp. 31-38
Persistent link: https://www.econbiz.de/10011747220