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),...

This volume considers trading strategies in illiquid markets from three perspectives. The first chapter presents an innovative approach to investigate the interactions between the trading activities of a large investor, the stock price, and liquidity. The framework generalizes existing models by...

This study investigates the impact of algorithmic trading strategies on asset price mispricing and relative payoffs of human and algorithmic traders using the Smith- Suchanek-Williams (SSW - (Smith et al. (1988))) framework. A 2x2 treatment design varying algorithmic strategy (market-making or...