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Modelling asset prices for algorithmic and high-frequency trading

Cartea, Álvaro; Jaimungal, Sebastian - In: Applied mathematical finance 20 (2013) 5/6, pp. 512-547

Persistent link: https://www.econbiz.de/10010235563

Three essays in financial economics under asymmetric information

Strobl, Günter - 2005

Persistent link: https://www.econbiz.de/10003554471

Single- and multiplayer trade execution strategies under transient price impact

Strehle, Elias - 2017

Persistent link: https://www.econbiz.de/10012197703

Inferring trade directions in fast markets

Jurkatis, Simon Willi - 2020

Persistent link: https://www.econbiz.de/10012597973

Optimal execution : a review

Donnelly, Ryan - In: Applied mathematical finance 29 (2022) 3, pp. 181-212

Persistent link: https://www.econbiz.de/10013554798

Multi-agent order book simulation : mono- and multi-asset high-frequency market making strategies

Foata, Laurent; Vidhamali, Michael; Abergel, Frédéric - In: Econophysics of Order-driven Markets : proceedings of …, (pp. 139-152). 2011

Persistent link: https://www.econbiz.de/10009349718

Algorithmic trading of co-integrated assets

Cartea, Álvaro; Jaimungal, Sebastian - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-18

Persistent link: https://www.econbiz.de/10011572368

Enhancing trading strategies with order book signals

Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian - In: Applied mathematical finance 25 (2018) 1/2, pp. 1-35

Persistent link: https://www.econbiz.de/10011959112

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

Paulin, James; Calinescu, Anisoara; Wooldridge, Michael J. - In: Journal of economic dynamics & control 100 (2019), pp. 200-229

Persistent link: https://www.econbiz.de/10012130964

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