1 citations · 1 across the 3 of their papers we have counts for
4 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…
Revisiting Cont's Stylized Facts for Modern Stock Markets
Ethan Ratliff-Crain, Colin M. Van Oort, James Bagrow +2
In 2001, Rama Cont introduced a now-widely used set of 'stylized facts' to synthesize empirical studies of financial price changes (returns), resulting in 11 statistical properties…
Irreducibles and primes in computable integral domains
Leigh Evron, Joseph R. Mileti, Ethan Ratliff-Crain
A computable ring is a ring equipped with mechanical procedure to add and multiply elements. In most natural computable integral domains, there is a computational procedure to dete…