102 citations · 161 across the 12 of their papers we have counts for
13 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…
Scaling of inefficiencies in the U.S. equity markets: Evidence from three market indices and more than 2900 securities
John H. Ring, Colin M. Van Oort, David R. Dewhurst +3
Using the most comprehensive, commercially-available dataset of trading activity in U.S. equity markets, we catalog and analyze quote dislocations between the SIP National Best Bid…
Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets
Brian F. Tivnan, David Slater, James R. Thompson +7
Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor, the data feed consolidating all trades and quotes…
Benchmarking sentiment analysis methods for large-scale texts: A case for using continuum-scored words and word shift graphs
Andrew J. Reagan, Brian Tivnan, Jake Ryland Williams +2
The emergence and global adoption of social media has rendered possible the real-time estimation of population-scale sentiment, bearing profound implications for our understanding…