Global ETD Search
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Showing 1 to 2 of 2 for “"market micro-structure"”.
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Calibrating high frequency trading data to agent based models using approximate Bayesian computation
… calibration for the use of agent based models in market micro-structure. To date, there are no successful calibrations of agent based models to high frequency trading data. Here we test whether a more sophisticated calibration technique, SMC ABC, will achieve this feat on one of the leading agent …
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Essays on real options and strategic behaviour.
… under uncertainty, corporate default , market micro-structure . and the timing of arbitrage. Apart from illustrating the wide applicability and relevance of the techniques, this also clarifies some important issues in financial economics. 'Option Games' (jointly written with William …