High frequency trading strategies, market fragility and price spikes: an agent based model perspective
- Submitting institution
-
Goldsmiths' College
- Unit of assessment
- 11 - Computer Science and Informatics
- Output identifier
- 3447
- Type
- D - Journal article
- DOI
-
10.1007/s10479-018-3019-4
- Title of journal
- Annals of Operation Research
- Article number
- -
- First page
- 217
- Volume
- 282
- Issue
- 1-2
- ISSN
- 0254-5330
- Open access status
- Technical exception
- Month of publication
- November
- Year of publication
- 2018
- URL
-
http://research.gold.ac.uk/id/eprint/27283/
- Supplementary information
-
-
- Request cross-referral to
- -
- Output has been delayed by COVID-19
- No
- COVID-19 affected output statement
- -
- Forensic science
- No
- Criminology
- No
- Interdisciplinary
- No
- Number of additional authors
-
3
- Research group(s)
-
-
- Citation count
- 3
- Proposed double-weighted
- No
- Reserve for an output with double weighting
- No
- Additional information
- The flash crashes in financial markets wiped billions of dollars in a matter of seconds. The proposed agent based modelling (ABM) methodology provides new insights into the market microstructure study to understand flash crashes in financial markets. Using the simulation methodology, we bridge the gap between computer science and economics by modelling the complexity of high frequency financial market and study under what circumstances the financial market is vulnerable for the crashes. The proposed methodology provides the policy makers with an important tool set in order to continuously monitor the health of the financial market and avoid the flash crashes.
- Author contribution statement
- -
- Non-English
- No
- English abstract
- -