12 citations · 12 across the 3 of their papers we have counts for
3 papers
Testing replication for an agent-based model of market fragmentation and latency arbitrage
Ethan Ratliff-Crain, Colin M. Van Oort, Matthew T. K. Koehler +1
This study strengthens the foundations of multi-venue market modeling by attempting an independent replication of Wah and Wellman's 2016 model of latency arbitrage in a fragmented…
Adaptive Agents and Data Quality in Agent-Based Financial Markets
Colin M. Van Oort, Ethan Ratliff-Crain, Brian F. Tivnan +1
We present our Agent-Based Market Microstructure Simulation (ABMMS), an Agent-Based Financial Market (ABFM) that captures much of the complexity present in the US National Market S…
Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30
Brian F. Tivnan, David Rushing Dewhurst, Colin M. Van Oort +8
Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in 2016 from the…