Impact of High-Frequency Trading with an Order Book Imbalance Strategy on Agent-Based Stock Markets
It is known that there is a positive correlation between order book imbalance and future returns. Although some previous studies using actual trading data have suggested that high-frequency trading (HFT) may take this characteristic into account, HFT firms have not disclosed their specific strategie...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2023-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2023/3996948 |
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