Book section
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. The contribution of this paper is twofold. First we presented a method for identifying the most suitable market simulation type, based on the specific market model to be investigated. Then we proposed an extended model of the Bayesian execution strategy. We implemented and assessed this model using our tool AlTraSimBa (ALgorithmic T...
Expand abstract
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Access Document
- Files:
-
-
(Accepted manuscript, pdf, 571.3KB)
-
- Publisher copy:
- 10.1007/978-3-662-44871-7_4
Why is the content I wish to access not available via ORA?
Bibliographic data (the information relating to research outputs) and full-text items (e.g. articles, theses, reports, etc.) arrive in ORA from several different sources. Unfortunately we are not able to make available the full-text for every research output.
Please contact the ORA team (
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
Content may be unavailable for the following four reasons
-
Version unsuitable
-
We have not obtained a suitable full-text for a given research output. See this page for more information.
-
Recently completed
-
Sometimes content is held in ORA but is unavailable for a fixed period of time to comply with the policies and wishes of rights holders.
-
Permissions
-
All content made available in ORA should comply with relevant rights, such as copyright. See this page for more information.
-
Clearance
-
Some thesis volumes scanned as part of the digitisation scheme funded by Dr Leonard Polonsky are currently unavailable due to sensitive material or uncleared third-party copyright content. We are attempting to contact authors whose theses are affected.
Alternative access to the full-text
You may be able to access the full-text directly from the publisher's website using the 'Publisher Copy' link in the 'Links & Downloads' box from a research output's ORA record page. This method may require an institutional or individual subscription to the journal/resource.
Bibliographic Details
- Publisher:
- Springer Verlag Publisher's website
- Volume:
- 8780
- Issue:
- LNCS
- Pages:
- 92-121
- Series:
- Lecture Notes in Computer Science
- Host title:
- Lecture Notes in Computer Science
- Publication date:
- 2014-09-27
- DOI:
- ISSN:
-
0302-9743
- Source identifiers:
-
507393
Item Description
- Keywords:
- Pubs id:
-
pubs:507393
- UUID:
-
uuid:b8293fc8-bacd-4b46-ad58-c7f13eba6fe8
- Local pid:
- pubs:507393
- Deposit date:
- 2019-01-07
Terms of use
- Copyright holder:
- Springer Verlag
- Copyright date:
- 2014
- Notes:
- © Springer-Verlag Berlin Heidelberg 2014. This is the accepted manuscript version of the chapter. The final version is available online from Springer at: https://doi.org/10.1007/978-3-662-44871-7_4
If you are the owner of this record, you can report an update to it here: Report update to this record