Characterising trader manipulation in a limit-order driven market

DOI10.1016/J.MATCOM.2012.09.012zbMATH Open1499.91042OpenAlexW2041052677MaRDI QIDQ2227409FDOQ2227409

Authors: R. M. Withanawasam, T. F. Crack, P. A. Whigham 

Publication date: 15 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2012.09.012

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zbMATH Keywords

Bayesian learningmarket manipulationlimit order marketsmarket micro-structure models

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• A STATISTICAL PARADOX
• Informed manipulation.

Cited In (3)

• Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
• Informed manipulation.
• A dynamic strategy of the informed trader with market manipulation

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