High frequency trading strategies, market fragility and price spikes: an agent based model perspective.
Frank McGroartyAsh BoothEnrico GerdingVenkata L. Raju ChinthalapatiPublished in: Ann. Oper. Res. (2019)
Keyphrases
- high frequency
- trading strategies
- low frequency
- test bed
- trading agents
- stock market
- visual quality
- high resolution
- subband
- wavelet transform
- computer programs
- low pass
- wavelet coefficients
- high frequencies
- discrete wavelet transform
- financial markets
- trading systems
- multiresolution
- multi resolution analysis
- image compression
- subband decomposition
- wavelet domain
- frequency band
- high quality
- high frequency components
- high level
- investment strategies
- machine learning