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Understanding flash crash contagion and systemic risk : a micro-macro agent-based approach

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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

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