6 citations · 25 across the 12 of their papers we have counts for
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q-fin.CP2022
Understanding intra-day price formation process by agent-based financial market simulation: calibrating the extended chiarella model
Kang Gao, Perukrishnen Vytelingum, Stephen Weston +2
This article presents XGB-Chiarella, a powerful new approach for deploying agent-based models to generate realistic intra-day artificial financial price data. This approach is base…
q-fin.TR2022★ 6 cited
High-frequency financial market simulation and flash crash scenarios analysis: an agent-based modelling approach
Kang Gao, Perukrishnen Vytelingum, Stephen Weston +2
This paper describes simulations and analysis of flash crash scenarios in an agent-based modelling framework. We design, implement, and assess a novel high-frequency agent-based fi…