Spoofing the limit order book: a strategic agent-based analysis

DOI10.3390/G12020046zbMath1479.91384OpenAlexW3165369839MaRDI QIDQ2052548

Michael P. Wellman, Yevgeniy Vorobeychik, Christopher Hoang, Xintong Wang

Publication date: 26 November 2021

Published in: Games (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/g12020046

zbMATH Keywords

agent-based simulationempirical game-theoretic analysismarket manipulationtrading agents

Mathematics Subject Classification ID

Applications of game theory (91A80) Financial markets (91G15)

Uses Software

• TotalView

Cites Work

• Handbook of computational economics. Vol. 2: Agent-based computational economics
• The competitive market paradox
• Price formation in double auctions
• Time series properties of an artificial stock market
• Strategic bidding in continuous double auctions
• Welfare Effects of Market Making in Continuous Double Auctions

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