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q-fin.TR2026
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…
q-fin.TR2023
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…