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Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading

  • Published:2019-01 Issue: Volume:157 Page:15-41
  • ISSN:0167-2681
  • Container-title:Journal of Economic Behavior & Organization
  • language:en
  • Short-container-title:Journal of Economic Behavior & Organization

Author:

Leal Sandrine Jacob,Napoletano Mauro

Publisher

Elsevier BV

Subject

Organizational Behavior and Human Resource Management,Economics and Econometrics

Reference125 articles.

1. Moment condition failure in high frequency financial data: evidence from the s&p 500;Abhyankar;Appl. Econ. Lett.,1995

2. The impact of circuit breakers on market outcomes. Tech. rep., Economic Impact Assessment EIA9, Foresight;Ackert,2012

3. High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems;Aldridge,2013

4. Excess volatility and herding in an artificial financial market: Analytical approach and estimation. Paper No. 24719, MPRA;Alfarano,2010

5. A directional-change event approach for studying financial time series;Aloud;Econ.: Open-Access, Open-Assess. E-J.,2012

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