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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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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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High-frequency trading, stock volatility, and intraday crashes
Ben Ammar, Imen; Hellara, Slaheddine - In: The quarterly review of economics and finance : journal … 84 (2022), pp. 337-344
Persistent link: https://www.econbiz.de/10013334894
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Foreign exchange markets with Last Look
Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie - In: Mathematics and financial economics 13 (2019) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10012055750
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Algorithmic trading effects on KOSPI
Kim, Hae-Young; Jung, Heon-Yong - In: International journal of applied business and economic … 16 (2018) 1, pp. 183-188
Persistent link: https://www.econbiz.de/10011981806
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Do algorithmic traders exploit volatility?
Arumugam, Devika; Prasanna, P. Krishna; Marathe, Rahul … - In: Journal of behavioral and experimental finance 37 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014456234
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Theoretical and practical aspects of algorithmic trading
Fränkle, Jan - 2010
Persistent link: https://www.econbiz.de/10008842360
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Price discovery in floor and screen trading systems
Theissen, Erik - 2001
equal when transaction prices are used for the estimation. Models based on quote midpoints indicate that the electronic …
Persistent link: https://www.econbiz.de/10011540052
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Price discovery in floor and screen trading systems
Theissen, Erik - 2001
Persistent link: https://www.econbiz.de/10001645851