Characterising trader manipulation in a limit-order driven market

DOI10.1016/J.MATCOM.2012.09.012MaRDI QIDQ2227409zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Bayesian learninglimit order marketsmarket manipulationmarket micro-structure models

Mathematics Subject Classification ID

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

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Cites work

• A STATISTICAL PARADOX
• Informed manipulation.

Cited in

(5)

• Informed manipulation.
• Spoofing the limit order book: a strategic agent-based analysis
• Spoofing and price manipulation in order-driven markets
• Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
• A dynamic strategy of the informed trader with market manipulation

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