2014
DOI: 10.1007/978-3-662-45896-9_4
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Revisiting Agent-Based Models of Algorithmic Trading Strategies

Abstract: Algorithmic trading (AT) strategies aim at executing large orders discretely, in order to minimize the order's impact, whilst also hiding the traders' intentions. Most AT evaluation methods range from running the AT strategies against historical data (backtesting) to evaluating them on simulated markets. The contribution of the work presented in this paper is twofold. First we investigated different types of agentbased market simulations and suggested how to identify the most suitable market simulation type, b… Show more

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Cited by 4 publications
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References 24 publications
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