2 papers
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.ST2024
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…