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Article
Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market
The widespread application of algorithmic trading (AT) will have a lasting and profound effect on the financial market. This paper uses the multi-agent model to construct a multi-asset artificial stock market ...
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Article
Research on the Effects of Institutional Liquidation Strategies on the Market Based on Multi-agent Model
Based on the multi-agent model, an artificial stock market with four types of traders is constructed. On this basis, this paper focuses on comparing the effects of liquidation behavior on market liquidity, vol...
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Article
Optimal Liquidation Strategy of Multi-assets Based on Minimum Loss Probability
Based on the minimum loss probability criterion, this paper discusses the optimal strategy in multi-asset liquidation. First, we give the framework of the multi-asset liquidation problem and obtain the boundar...