Strategic Agent-Based Modeling of Financial Markets

REFERENCES

1. ↵
   Arnuk, Sal, and Joseph Saluzzi. 2012. Broken Markets: How High Frequency Trading and Predatory Practices on Wall Street Are Destroying Investor Confidence and Your Portfolio. Upper Saddle River, N.J.: FT Press.
2. ↵
   Arthur, Brian, John H. Holland, Blake LeBaron, Richard Palmer, and Paul Tayler. 1997. “Asset Pricing Under Endogenous Expectations in an Artificial Stock Market.” In The Economy as an Evolving Complex System II, edited by Brian W. Arthur, Steven N. Durlauf, and David A. Lane. Boulder: Westview Press.
3. ↵
   Beeson, Ed. 2015. “SEC Fines Direct Edge $14M over Misleading Order Types.” Law360 (online journal), January 12, 2015. Available at: http://www.law360.com/articles/610484/sec-fines-direct-edge-14m-over-misleading-order-types; accessed June 12, 2016.
4. ↵
   1. Bessembinder, Hendrik

   . 2003. “Issues in Assessing Trade Execution Costs.” Journal of Financial Markets 6(1): 233–57.

   OpenUrlCrossRefWeb of Science
5. ↵
   Bessembinder, Hendrik, and Kumar Venkataraman. 2010. “Bid-Ask Spreads: Measuring Trade Execution Costs in Financial Markets.” In Encyclopedia of Quantitative Finance, edited by Rama Cont. New York: John Wiley.
6. ↵
   Bodek, Haim. 2013. The Problem of HFT: Collected Writings on High Frequency Trading and Stock Market Structure Reform. Electronic edition. CreateSpace Independent Publishing Platform.
7. ↵
   Bookstaber, Richard. 2012. “Using Agent-Based Models for Analyzing Threats to Financial Stability.” Office of Financial Research Working Paper 3. Washington: U.S. Department of the Treasury.
8. ↵
   1. Boswijk, H. Peter,
   2. Cars H. Hommes, , and
   3. Sebastiano Manzan

   . 2007. “Behavioral Heterogeneity in Stock Prices.” Journal of Economic Dynamics and Control 31(6): 1938–70.

   OpenUrl
9. ↵
   1. Budish, Eric B.,
   2. Peter Cramton, , and
   3. John J. Shim

   . 2015. “The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response.” Quarterly Journal of Economics 130(4): 1547–621.

   OpenUrlCrossRef
10. ↵
    1. Cardella, Laura,
    2. Jia Hao, ,
    3. Ivalina Kalcheva, , and
    4. Yung-Yu Ma

    . 2014. “Computerization of the Equity, Foreign Exchange, Derivatives and Fixed-Income Markets.” Financial Review 49(2): 231–43.

    OpenUrl
11. ↵
    Das, Rajarshi, James E. Hanson, Jeffrey O. Kephart, and Gerald Tesauro. 2001. “Agent-Human Interactions in the Continuous Double Auction.” Proceedings of the Seventeenth International Joint Conference on Artificial Intelligence. San Francisco: Morgan Kaufmann and American Association for Artificial Intelligence.
12. ↵
    1. Easley, David,
    2. Marcos M. López de Prado, , and
    3. Maureen O’Hara

    . 2012. “The Volume Clock: Insights into the High Frequency Paradigm.” Journal of Portfolio Management 39(1): 19–29.

    OpenUrlCrossRefWeb of Science
13. ↵
    1. Fricke, Daniel, and
    2. Thomas Lux

    . 2015. “The Effects of a Financial Transaction Tax in an Artificial Financial Market.” Journal of Economic Interaction and Coordination 10(1): 119–50.

    OpenUrl
14. ↵
    Friedman, Daniel. 1993. “The Double Auction Market Institution: A Survey.” In The Double Auction Market: Institutions, Theories, and Evidence, edited by Daniel Friedman and John Rust. Reading, Mass.: Addison-Wesley.
15. ↵
    Gintis, Herbert. 2000. Game Theory Evolving. Princeton, N.J.: Princeton University Press.
16. ↵
    1. Gode, Dhananjay K., and
    2. Shyam Sunder

    . 1993. “Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality.” Journal of Political Economy 101(1): 119–37.

    OpenUrlCrossRefWeb of Science
17. ↵
    1. Goettler, Ronald L.,
    2. Christine A. Parlour, , and
    3. Uday Rajan

    . 2005. “Equilibrium in a Dynamic Limit Order Market.” Journal of Finance 60(5): 2149–92.

    OpenUrlCrossRefWeb of Science
18. ↵
    1. Goettler, Ronald L,
    2. Christine A. Parlour, , and
    3. Uday Rajan

    . 2009. “Informed Traders and Limit Order Markets.” Journal of Financial Economics 93(1): 67–87.

    OpenUrlCrossRefWeb of Science
19. ↵
    1. Hendershott, Terrence,
    2. Charles M. Jones, , and
    3. Albert J. Menkveld

    . 2011. “Does Algorithmic Trading Improve Liquidity?” Journal of Finance 66(1): 1–33.

    OpenUrlCrossRefWeb of Science
20. ↵
    Jones, Charles M. 2013. “What Do We Know About High Frequency Trading?” Available at SSRN (link for download): http://ssrn.com/abstract=2236201; accessed June 12, 2016.
21. ↵
    Kirilenko, Andrei A., Albert S. Kyle, Mehrdad Samadi, and Tugkan Tuzun. 2014. “The Flash Crash: The Impact of High Frequency Trading on an Electronic Market.” Available at SSRN (link for download): http://ssrn.com/abstract=1686004; accessed June 12, 2016.
22. ↵
    1. LeBaron, Blake

    . 2011. “Active and Passive Learning in Agent-Based Financial Markets.” Eastern Economic Journal 37(1): 35–43.

    OpenUrl
23. ↵
    1. Lee, Bernard,
    2. Shih-fen Cheng, , and
    3. Annie Koh

    . 2011. “Would Price Limits Have Made Any Difference to the ‘Flash Crash’ on May 6, 2010?” Review of Futures Markets 19 (Special IFM Issue): 55–93.

    OpenUrl
24. ↵
    1. Levy, Moshe,
    2. Haim Levy, , and
    3. Sorin Solomon

    . 1994. “A Microscopic Model of the Stock Market: Cycles, Booms, and Crashes.” Economics Letters 45(1): 103–11.

    OpenUrlCrossRef
25. ↵
    Lewis, Michael. 2014. Flash Boys: A Wall Street Revolt. New York: W. W. Norton.
26. ↵
    Madhavan, Ananth, Kewei Ming, Vesna Straser, and Yingchuan Wang. 2002. “How Effective Are Effective Spreads? An Evaluation of Trade Side Classification Algorithms.” Working paper. ITG Analytic Incubator, November 20. Available at: http://analyticsincubator.itginc.com/library/papers/how-effective-are-effective-spreads-an-evaluation-of-trade-side-classification-algorithms/; accessed June 12, 2016.
27. ↵
    1. Menkveld, Albert J

    . 2014. “High-Frequency Traders and Market Structure.” Financial Review 49(2): 333–44.

    OpenUrl
28. ↵
    Paddrik, Mark, Roy Hayes, Jr., Andrew Todd, Steve Yang, Peter Beling, and William Scherer. 2012. “An Agent-Based Model of the E-Mini S&P 500 Applied to Flash Crash Analysis.” Conference on Computational Intelligence for Financial Engineering and Economics, New York (March 29).
29. ↵
    1. Piwowar, Michael S., and
    2. Li Wei

    . 2006. “The Sensitivity of Effective Spread Estimates to Trade-Quote Matching Algorithms.” Electronic Markets 16(2): 112–29.

    OpenUrl
30. ↵
    1. Subrahmanyam, Avanidhar

    . 2013. “Algorithmic Trading, the Flash Crash, and Coordinated Circuit Breakers.” Borsa Istanbul Review 13(3): 4–9.

    OpenUrl
31. ↵
    Tesfatsion, Leigh. 2006. “Agent-Based Computational Economics: A Constructive Approach to Economic Theory.” In Handbook of Agent-Based Computational Economics, edited by Leigh Tesfatsion and Kenneth L. Judd. Amsterdam: Elsevier.
32. ↵
    1. Vorobeychik, Yevgeniy,
    2. Michael P. Wellman, , and
    3. Satinder Singh

    . 2007. “Learning Payoff Functions in Infinite Games.” Machine Learning 67(1): 145–68.

    OpenUrl
33. ↵
    Wah, Elaine, Dylan R. Hurd, and Michael P. Wellman. 2015. “Strategic Market Choice: Frequent Call Markets vs. Continuous Double Auctions for Fast and Slow Traders.” Paper presented at Third EAI Conference on Auctions, Market Mechanisms, and Their Applications, Chicago (August 8 to 9). Available at: http://web.eecs.umich.edu/srg/?page_id=1666; accessed July 11, 2016.
34. ↵
    Wah, Elaine, and Michael P. Wellman. 2013. “Latency Arbitrage, Market Fragmentation, and Efficiency: A Two-Market Model.” Proceedings of the Fourteenth ACM Conference on Electronic Commerce. Available at: http://dl.acm.org/citation.cfm?id=2482577, pp. 855–72; accessed July 11, 2016.
35. ↵
    Wah, Elaine, and Michael P. Wellman. 2015. “Welfare Effects of Market Making in Continuous Double Auctions.” Proceedings of the Fourteenth International Conference on Autonomous Agents and Multiagent Systems. Available at: http://aamas2015.com/en/AAMAS_2015_USB/aamas/p57.pdf, pp. 57–66; accessed July 11, 2016
36. ↵
    Wellman, Michael P. 2011. Trading Agents. Electronic edition. San Rafael, Calif.: Morgan & Claypool.
37. ↵
    Wiedenbeck, Bryce, and Michael P. Wellman. 2012. “Scaling Simulation-Based Game Analysis Through Deviation-Preserving Reduction.” Proceedings of the Eleventh International Conference on Autonomous Agents and Multiagent Systems. Available at http://www.aamas-conference.org/Proceedings/aamas2012/papers/5E_1.pdf, pp. 931–38; accessed July 11, 2016.