3 citations · 8 across the 4 of their papers we have counts for
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q-fin.TR2021
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…
q-fin.TR2021
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…