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Market stability vs. market resilience : regulatory policies experiments in an agent based model with low- and high-frequency trading
Jacob Leal, Sandrine; Napoletano, Mauro - 2016
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...
Persistent link: https://www.econbiz.de/10011457384
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Market stability vs. market resilience : regulatory policies experiments in an agent-based model with low- and high-frequency trading
Leal, Sandrine Jacob; Napoletano, Mauro - 2016
Persistent link: https://www.econbiz.de/10011644118
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Market stability vs. market resilience : regulatory policies experiments in an agent-based model with low- and high-frequency trading
Leal, Sandrine Jacob; Napoletano, Mauro - In: Journal of economic behavior & organization : JEBO 157 (2019), pp. 15-41
Persistent link: https://www.econbiz.de/10012138458
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Rock around the clock: an agent-based model of low- and high-frequency trading
Leal, Sandrine Jacob; Napoletano, Mauro; Roventini, Andrea - 2014
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...
Persistent link: https://www.econbiz.de/10010243948
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Rock around the clock : an agent-based model of low- and high-frequency trading
Leal, Sandrine Jacob; Napoletano, Mauro; Roventini, Andrea - In: Journal of evolutionary economics : JEE 26 (2016) 1, pp. 49-76
Persistent link: https://www.econbiz.de/10011606699
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Market entry waves and volatility outbursts in stock markets
Blaurock, Ivonne; Schmitt, Noemi; Westerhoff, Frank H. - 2017
herding behavior and market risk. Moreover, speculators' orders depend on price trends, market misalignments and fundamental … news. Using a mix of analytical and numerical tools, we show that a herding-induced market entry wave may amplify excess …
Persistent link: https://www.econbiz.de/10011702006
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Market entry waves and volatility outbursts in stock markets
Schwartz, Ivonne; Schmitt, Noemi; Westerhoff, Frank H. - In: Journal of economic behavior & organization : JEBO 153 (2018), pp. 19-37
Persistent link: https://www.econbiz.de/10011986639
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An agent-based stochastic volatility model
Alfarano, Simone - 2006
Persistent link: https://www.econbiz.de/10003307294
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Structural stochastic volatility in asset pricing dynamics : estimation and model contest
Franke, Reiner; Westerhoff, Frank H. - 2011
these lines reveals a strong role for a (tamed) herding component. The quantitative performance of the winner model is so … good that it may provide a standard for future research. -- Method of simulated moments ; moment coverage ratio ; herding …
Persistent link: https://www.econbiz.de/10009007642
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An exact pysical approach to market participation models
Garibaldi, U.; Penco, M. A.; Viarengo, P. - In: Heterogenous agents, interactions and economic performance, (pp. 91-103). 2003
Persistent link: https://www.econbiz.de/10001750274