Are endogenous liquidity providers (ELPs) reliable in times of market stress? We examine
the activity of a common ELP type—high frequency traders (HFTs)—around extreme price …

This working review shows recent agent-based models for financial market (artificial market
simulations) to discuss financial regulations and/or rules. This review aimed to introduce …

We build an agent-based model to study how the interplay between low-and high-frequency
trading affects asset price dynamics. Our main goal is to investigate whether high-frequency …

We study the effect of latency arbitrage on allocative efficiency and liquidity in fragmented
financial markets. We propose a simple model of latency arbitrage in which a single security …

We investigate the effects of a set of regulatory policies directed towards high-frequency
trading (HFT) through an agent-based model of a limit order book able to generate flash …

The purpose of this paper is to advance the understanding of the conditions that give rise to
flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To …

Our study is a comprehensive examination of the existing literature pertaining to algorithmic
trading and its temporal progression in a framework driven by technology development. A …

In the past, the bottom-up study of financial stock markets relied on first-generation multi-
agent systems (MAS), which employed zero-intelligence agents and often required the …

Computerisation of the financial markets has precipitated an arms-race for ever-faster
trading. In combination, regulatory reform to encourage competition has resulted in market …

Recently, the speed of order matching systems on financial exchanges has been increasing
due to competition between markets and due to large investor demands. There is an opinion …