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Market Microstructure Design and Flash Crashes: A Simulation Approach
16 references·2 citing·39 second hop
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References

  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 2005Limit Order Book as a Market for Liquidity614 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 2008Handbook of Experimental Economics Results566 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 2005Equilibrium in a Dynamic Limit Order Market439 cited
  • 1992Trading Mechanisms in Securities Markets426 cited
  • 1992Trading Mechanisms in Securities Markets356 cited
  • 2000Competing Mechanisms in a Common Value Environment353 cited
  • 2003Liquidity-Based Competition for Order Flow230 cited
  • 2007Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments102 cited
  • 2007Working Orders in Limit Order Markets and Floor Exchanges98 cited
  • 2010High Frequency Traders and Asset Prices84 cited
  • 2009Liquidity Shocks and Order Book Dynamics35 cited

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Cited by

  • 2020Deep Reinforcement Learning in Agent Based Financial Market Simulation38 cited
  • 2015Call Market Experiments: Efficiency and Price Discovery Through Multiple Calls and Emergent Newton Adjustments25 cited