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Volatility clustering in financial markets : a micro-simulation of interacting agents

Lux, Thomas; Marchesi, Michele - 1998

Persistent link: https://www.econbiz.de/10001372570

Volatility clustering in financial markets : a micro-simulation of interactive agents

Lux, Thomas - 1997

Persistent link: https://www.econbiz.de/10013399182

Speculative dynamics, feedback traders and transaction taxes : a note

Westerhoff, Frank - 2004

Persistent link: https://www.econbiz.de/10002087696

Speculative dynamics, feedback traders and transaction taxes : a note

Westerhoff, Frank H. - In: Review of economics 55 (2004) 2, pp. 190-195

Persistent link: https://www.econbiz.de/10002709509

Rock around the clock: an agent-based model of low- and high-frequency trading

Leal, Sandrine Jacob; Napoletano, Mauro; Roventini, Andrea - 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 …

Persistent link: https://www.econbiz.de/10010243948

Where is the Value in High Frequency Trading?

Cartea, Álvaro - 2012

We analyze the impact of high frequency (HF) trading in financial markets based on a model with three types of traders: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price impact of liquidity trades is higher in the...

Persistent link: https://www.econbiz.de/10013115486