High frequency trading strategies, market fragility and price spikes : an agent based model perspective
Frank McGroarty, Ash Booth, Enrico Gerding, V. L. Raju Chinthalapati
| Year of publication: |
2019
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|---|---|
| Authors: | McGroarty, Frank ; Booth, Ash ; Gerding, Enrico ; Chinthalapati, V. L. Raju |
| Published in: |
Application of operations research to financial markets. - New York, NY, USA : Springer. - 2019, p. 217-244
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| Subject: | Agent-based model | MIFiD II | Limit order book | Stylised facts | Algorithmic trading | Agentenbasierte Modellierung | Agent-based modeling | Wertpapierhandel | Securities trading | Elektronisches Handelssystem | Electronic trading | Marktmikrostruktur | Market microstructure | Börsenkurs | Share price | Theorie | Theory | Anlageverhalten | Behavioural finance | Marktliquidität | Market liquidity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-018-3019-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012157446