Browsing College of Business and Law by Subject "Stock exchanges--Computer simulation"

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An Agent-based Modeling Approach to Study Price Impact

Cui, Wei ; Brabazon, Anthony (IEEE Press, 2012-03-29)

Price impact models are important for devising trade execution strategies. However, a proper characterization of price impacts is still lacking. This study models the price impact using an agent-based modeling approach. ...
Dynamic trade execution : a grammatical evolution approach

Cui, Wei ; Brabazon, Anthony ; O'Neill, Michael (Inderscience Enterprises, 2011-02)

Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument. Investors wishing to execute large orders face a tradeoff between market impact and opportunity cost. ...