8 citations · 26 across the 8 of their papers we have counts for
8 papers
Simulation and estimation of an agent-based market-model with a matching engine
Ivan Jericevich, Patrick Chang, Tim Gebbie
An agent-based model with interacting low frequency liquidity takers inter-mediated by high-frequency liquidity providers acting collectively as market makers can be used to provid…
Simulation and estimation of a point-process market-model with a matching engine
Ivan Jericevich, Patrick Chang, Tim Gebbie
The extent to which a matching engine can cloud the modelling of underlying order submission and management processes in a financial market remains an unanswered concern with regar…
Comparing the market microstructure between two South African exchanges
Ivan Jericevich, Patrick Chang, Tim Gebbie
We consider shared listings on two South African equity exchanges: the Johannesburg Stock Exchange (JSE) and the A2X Exchange. A2X is an alternative exchange that provides for both…
The Epps effect under alternative sampling schemes
Patrick Chang, Etienne Pienaar, Tim Gebbie
Time and the choice of measurement time scales is fundamental to how we choose to represent information and data in finance. This choice implies both the units and the aggregation…
Fourier instantaneous estimators and the Epps effect
Patrick Chang
We compare the Malliavin-Mancino and Cuchiero-Teichmann Fourier instantaneous estimators to investigate the impact of the Epps effect arising from asynchrony in the instantaneous e…
Detecting discrete processes with the Epps effect
Patrick Chang, Etienne Pienaar, Tim Gebbie
The Epps effect is key phenomenology relating to high frequency correlation dynamics in financial markets. We argue that it can be used to provide insight into whether tick data is…