Independent replication shows that market fragmentation decreases execution times in all cases and increases trader welfare in most cases under an alternative greedy strategy for ZI traders, reversing some original qualitative takeaways.
Adding to the Regulator’s Toolbox: Integration and Extension of Two Leading Market Models.Papers, May 2011
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Testing replication for an agent-based model of market fragmentation and latency arbitrage
Independent replication shows that market fragmentation decreases execution times in all cases and increases trader welfare in most cases under an alternative greedy strategy for ZI traders, reversing some original qualitative takeaways.