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An exact pysical approach to market participation models

Garibaldi, U.; Penco, M. A.; Viarengo, P. - In: Heterogenous agents, interactions and economic performance, (pp. 91-103). 2003

Persistent link: https://www.econbiz.de/10001750274

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real … time, we also find that the price impact of trades is symmetric on average. However, the price of highly liquid stocks with …

Persistent link: https://www.econbiz.de/10010256970

Dynamic predictor selection and order splitting in a limit order market

Yamamoto, Ryuichi - In: Macroeconomic dynamics 23 (2019) 5, pp. 1757-1792

Persistent link: https://www.econbiz.de/10012127237

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

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

The effects of a financial transaction tax in an artificial financial market

Fricke, Daniel; Lux, Thomas - 2013

We investigate the effects of a Financial Transaction Tax (FTT) in an order-driven artificial financial market. FTTs are meant to limit short-term speculative behavior by reducing the amount of excess liquidity in the system. To quantify these effects, adjustments in trading strategies and their...

Persistent link: https://www.econbiz.de/10009783698