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Disagreement-based trading and speculation : implications for financial regulation and economic theory

Biondi, Yuri - In: Accounting, Economics, and Law : AEL ; a convivium 1 (2011) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10009621357

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

Disagreement-Based Trading and Speculation : Implications for Financial Regulation and Economic Theory

Biondi, Yuri - 2011

Lynn Stout's paper on Risk, Speculation, and OTC Derivatives: An Inaugural Essay for Convivium develops an insightful … speculation and its recent transformation, making reference to the case of derivatives markets crash (and related financial crisis …) of 2007. From another hand, the paper foreshadows a thought-provoking economic model of trade (and speculation) based on …

Persistent link: https://www.econbiz.de/10013130175

From Glosten-Milgrom to the Whole Limit Order Book and Applications to Financial Regulation

Huang, Weibing - 2019

We build an agent-based model for the order book with three types of market participants: informed trader, noise trader and competitive market makers. Using a Glosten-Milgrom like approach, we are able to deduce the whole limit order book (bid-ask spread and volume available at each price) from...

Persistent link: https://www.econbiz.de/10012891578