108 citations · 435 across the 38 of their papers we have counts for
4 papers · 1 filter
Can Agent-Based Models Probe Market Microstructure?
Donovan Platt, Tim Gebbie
We extend prior evidence that naively using intraday agent-based models that involve realistic order-matching processes for modeling continuous-time double auction markets seems to…
The Problem of Calibrating an Agent-Based Model of High-Frequency Trading
Donovan Platt, Tim Gebbie
Agent-based models, particularly those applied to financial markets, demonstrate the ability to produce realistic, simulated system dynamics, comparable to those observed in empiri…
Learning zero-cost portfolio selection with pattern matching
Tim Gebbie, Fayyaaz Loonat
We consider and extend the adversarial agent-based learning approach of Gy{ö}rfi {\it et al} to the situation of zero-cost portfolio selection implemented with a quadratic approxim…
Deviations in expected price impact for small transaction volumes under fee restructuring
Michael Harvey, Dieter Hendricks, Tim Gebbie +1
We report on the occurrence of an anomaly in the price impacts of small transaction volumes following a change in the fee structure of an electronic market. We first review evidenc…