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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

High frequency traders in a simulated market

Hanson, Thomas A. - In: Review of accounting & finance 15 (2016) 3, pp. 329-351

Persistent link: https://www.econbiz.de/10011607960

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

In this work we simulate algorithmic trading (AT) in asset markets to clarify its impact. Our markets consist of human and algorithmic counterparts of traders that trade based on technical and fundamental analysis, and statistical arbitrage strategies. Our specific contributions are: (1)...

Persistent link: https://www.econbiz.de/10012022150

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

Price impact and bursts in liquidity provision

Gençay, Ramazan; Mahmoodzadeh, S.; Rojček, Jakub; … - In: Quantitative finance 18 (2018) 7, pp. 1129-1148

Persistent link: https://www.econbiz.de/10011911529

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

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

Profitability of trading in the direction of asset price jumps : analysis of multiple assets and frequencies

Fičura, Milan - In: Prague economic papers : a bimonthly journal of … 28 (2019) 4, pp. 385-401

Persistent link: https://www.econbiz.de/10012130976

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

Market impact : a systematic study of the high frequency options market

Said, Emilio; Bel Hadj Ayed, Ahmed; Thillou, Damien; … - In: Quantitative finance 21 (2021) 1, pp. 69-84

Persistent link: https://www.econbiz.de/10012424634