Analysis of the Impact of an Execution Algorithm with an Order Book Imbalance Strategy on the Financial Market Using an Agent-based Simulation
Author:
Affiliation:
1. Information and Computer Sciences, Graduate School of Engineering, Kogakuin University
2. SPARX Asset Management Co., Ltd.
3. Department of Information Science, Faculty of Informatics, Kogakuin University
Publisher
Japanese Society for Artificial Intelligence
Link
https://www.jstage.jst.go.jp/article/tjsai/39/4/39_39-4_FIN23-I/_pdf
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2. [Cao 09] Cao, C., Hansch, O., and Wang, X.: The information content of an open limit-order book, Journal of Futures Markets: Futures, Options, and Other Derivative Products, Vol. 29, No. 1, pp. 16–41 (2009)
3. [Cartea 15] Cartea, A., Jaimungal, S., and Penalva, J.: Algorithmic and High-frequency Trading, Cambridge University Press (2015)
4. [Cartea 16] Cartea, A. and Jaimungal, S.: A closed-form execution strategy to target volume weighted average price, SIAM Journal on Financial Mathematics, Vol. 7, No. 1, pp. 760–785 (2016)
5. [Cartea 18] Cartea, A., Donnelly, R., and Jaimungal, S.: Enhancing trading strategies with order book signals, Applied Mathematical Finance, Vol. 25, No. 1, pp. 1–35 (2018)
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