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.
Quantitative Model of Price Diffusion and Market Friction Based on Trading<? format?>as a Mechanistic Random Process.Physical review letters, 90(10):108102, 2003
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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.