29 citations · 31 across the 2 of their papers we have counts for
2 papers
q-fin.TR2017★ 29 cited
Impact and Recovery Process of Mini Flash Crashes: An Empirical Study
Tobias Braun, Jonas A. Fiegen, Daniel C. Wagner +2
In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extre…
q-fin.TR2014★ 2 cited
Analysis of a decision model in the context of equilibrium pricing and order book pricing
Daniel C. Wagner, Thilo A. Schmitt, Rudi Schäfer +2
An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications i…