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A Simulation Of Agent-Based Models For High Frequency Trading On The Stock Exchange Market

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  • Diana Dezsi

    (Bucharest University of Economic Studies)

Abstract

High frequency computer-based trading (HFT) represents a challenging topic nowadays, mainly due to the controversy it creates among investors on the financial market. The hereto paper uses two types of agent-based models, one with zero-intelligence traders and the other with intelligent traders in order to simulate the tick-by-tick high frequency trading market for ten US stocks. The results show that in almost all the cases the intelligent agent-based model performed better when compared to the zero-intelligence agentbased model, which could be interpreted as lower market efficiency, allowing for predictions of the stock market price, or even stock market manipulation.

Suggested Citation

  • Diana Dezsi, 2013. "A Simulation Of Agent-Based Models For High Frequency Trading On The Stock Exchange Market," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(Special I), pages 339-356, March.
    • Handle: RePEc:agr:journl:v:xx:y:2013:i:special-i:p:339-356
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