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Assessing the Impact of Algorithmic Trading on Markets: A Simulation Approach
16 references·0 citing·46 second hop
Assessing the Impact of Algorithmic Trading on Markets: A Simulation Approach (2008)Assessing the Impact of Algorithmic Tradi…The impact of heterogeneous trading rules on the limit order book and order flows (2008)The impact of heterogeneous t…Algorithmic Trading Patterns in Xetra Orders (2007)Algorithmic Trading Patterns …The Cost of Algorithmic Trading (2005)The Cost of Algorithmic Tradi…Algorithmic Decision-Making Framework (2005)Algorithmic Decision-Making F…Equity markets in action : the fundamentals of liquidity, market structure & trading (2004)Equity markets in action : th…What really causes large price changes? (2003)What really causes large pric…Trading and Exchanges: Market Microstructure for Practitioners (2002)Trading and Exchanges: Market…Optimal slice of a VWAP trade (2002)Optimal slice of a VWAP tradeA simulation analysis of the microstructure of double auction markets* (2002)A simulation analysis of the …Agent-based simulation of a financial market (2001)Agent-based simulation of a f…Market microstructure: A survey (2000)Market microstructure: A surv…Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…Stealth trading and volatility (1993)Stealth trading and volatilityAgent-based Computational Finance (1989)Agent-based Computational Fin…Information, trade and common knowledge (1982)Information, trade and common…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Information Effects on the Bid-Ask Spread (1983)Network externalities, competition, and compatibility (1985)Liquidity and Market Structure (1988)Secondary Trading Costs in the Municipal Bond Market (2006)Liquidity in Asset Markets With Search Frictions (2009)The Online Advertising Industry: Economics, Evolution, and Privacy (2009)The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Stealth-trading: Which traders' trades move stock prices? (2001)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)The Use of Knowledge in Society (1996)The contribution of tourism development to economic growth in the Korean economy (2003)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Negative bubbles and shocks in cryptocurrency markets (2016)On the Impossibility of Informationally Efficient Markets (1980)The Relation Between Price Changes and Trading Volume: A Survey (1987)Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Agreeing to Disagree (1976)The Private and Social Value of Information and the Reward to Inventive Activity (1978)Herd Behavior and Investment (1988)Heterogeneous beliefs and routes to chaos in a simple asset pricing model (1998)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)An empirical behavioral model of liquidity and volatility (2007)Econophysics review: II. Agent-based models (2011)Long-term Memory in Stock Market Prices (1989)Long-Term Memory in Stock Market Prices (1991)Herding effects in order driven markets: The rise and fall of gurus (2011)Herding behaviour and volatility clustering in financial markets (2017)Which cryptocurrency data sources should scholars use? (2022)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Anomalous waiting times in high-frequency financial data (2004)A complex systems approach to constructing better models for managing financial markets and the economy (2012)Using an artificial financial market for studying a cryptocurrency market (2015)Common risk factors in the returns on stocks and bonds (1993)Order imbalance, liquidity, and market returns (2002)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Corporate Bond Market Transaction Costs and Transparency (2007)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)
this work references cited by second hop

References

  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1982Information, trade and common knowledge1,738 cited
  • 2000Market microstructure: A survey1,133 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 1993Stealth trading and volatility948 cited
  • 1989Agent-based Computational Finance693 cited
  • 2002Trading and Exchanges: Market Microstructure for Practitioners517 cited
  • 2002A simulation analysis of the microstructure of double auction markets*273 cited
  • 2008The impact of heterogeneous trading rules on the limit order book and order flows249 cited
  • 2001Agent-based simulation of a financial market184 cited
  • 2003What really causes large price changes?129 cited
  • 2002Optimal slice of a VWAP trade71 cited
  • 2005Algorithmic Decision-Making Framework69 cited
  • 2004Equity markets in action : the fundamentals of liquidity, market structure & trading66 cited
  • 2005The Cost of Algorithmic Trading62 cited
  • 2007Algorithmic Trading Patterns in Xetra Orders58 cited

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