53 citations · 273 across the 13 of their papers we have counts for
13 papers
A Multi Agent Model for the Limit Order Book Dynamics
Marco Bartolozzi
In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation…
Local Risk Decomposition for High-frequency Trading Systems
M. Bartolozzi, C. Mellen
In the present work we address the problem of evaluating the historical performance of a trading strategy or a certain portfolio of assets. Common indicators such as the Sharpe rat…
Effects of diversification among assets in an agent-based market model
F. Ghoulmié, M. Bartolozzi, C. P. Mellen +1
We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmie et al (2005). In particular, we focus on adaptive…
Applications of physical methods in high-frequency futures markets
M. Bartolozzi, C. Mellen, F. Chan +3
In the present work we demonstrate the application of different physical methods to high-frequency or tick-by-tick financial time series data. In particular, we calculate the Hurst…
Scale-free avalanches in the multifractal random walk
M. Bartolozzi
Avalanches, or Avalanche-like, events are often observed in the dynamical behaviour of many complex systems which span from solar flaring to the Earth's crust dynamics and from tra…
Scale-free avalanche dynamics in the stock market
M. Bartolozzi, D. B. Leinweber, A. W. Thomas
Self-organized criticality has been claimed to play an important role in many natural and social systems. In the present work we empirically investigate the relevance of this theor…