6 citations · 12 across the 4 of their papers we have counts for
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q-fin.TR2025
Agent-based Liquidity Risk Modelling for Financial Markets
Perukrishnen Vytelingum, Rory Baggott, Namid Stillman +4
In this paper, we describe a novel agent-based approach for modelling the transaction cost of buying or selling an asset in financial markets, e.g., to liquidate a large position a…
q-fin.TR2022★ 6 cited
High-frequency financial market simulation and flash crash scenarios analysis: an agent-based modelling approach
Kang Gao, Perukrishnen Vytelingum, Stephen Weston +2
This paper describes simulations and analysis of flash crash scenarios in an agent-based modelling framework. We design, implement, and assess a novel high-frequency agent-based fi…