108 citations · 435 across the 38 of their papers we have counts for
6 papers · 1 filter
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…
The efficient frontiers of mean-variance portfolio rules under distribution misspecification
Andrew Paskaramoorthy, Tim Gebbie, Terence van Zyl
Mean-variance portfolio decisions that combine prediction and optimisation have been shown to have poor empirical performance. Here, we consider the performance of various shrinkag…
Geometric insights into robust portfolio construction
Lara Dalmeyer, Tim Gebbie
We investigate and extend the result that an alpha-weight angle from unconstrained quadratic portfolio optimisations has an upper bound dependent on the condition number of the cov…
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…
Calibrating an adaptive Farmer-Joshi agent-based model for financial markets
Ivan Jericevich, Murray McKechnie, Tim Gebbie
We replicate the contested calibration of the Farmer and Joshi agent based model of financial markets using a genetic algorithm and a Nelder-Mead with threshold accepting algorithm…
CoinTossX: An open-source low-latency high-throughput matching engine
Ivan Jericevich, Dharmesh Sing, Tim Gebbie
We deploy and demonstrate the CoinTossX low-latency, high-throughput, open-source matching engine with orders sent using the Julia and Python languages. We show how this can be dep…