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Strategic trade when securitized portfolio values are unknown

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Chapter 7. Agent-Based Models for Market Impact and Volatility

Bouchaud, Jean-Philippe - In: Handbook of computational economics : Volume 4: …, (pp. 393-436). 2018

Financial markets display a host of universal “stylized facts” begging for a scientific explanation: Excess volatility … microstructural ABMs would allow one to answer crucial questions, such as those related to market stability. Can large orders …

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The microstructure of currency markets

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Order flow information and spot rate dynamics

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Does the simple microstructure model tell the time of the FX intervention? A one day analysis of the Japanese FX intervention

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Order flow information and spot rate dynamics

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A switching microstructure model for stock prices

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The information environment, informed trading, and volatility

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Demand for gold : goods and investment markets interdependence as a factor of gold market stabilization

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