Roy Hayes

University of Virginia

PhD Student

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 17,397

SSRN RANKINGS

Top 17,397

in Total Papers Downloads

2,817

SSRN CITATIONS
Rank 41,512

SSRN RANKINGS

Top 41,512

in Total Papers Citations

6

CROSSREF CITATIONS

7

Scholarly Papers (6)

1.

Behavior Based Learning in Identifying High Frequency Trading Strategies

Number of pages: 8 Posted: 08 Nov 2011
Stevens Institute of Technology, Government of the United States of America - Office of Financial Research, University of Virginia, University of Virginia, University of Cambridge - Finance, University of Virginia, Dept. of System & Information Engineering and IEEE Intelligent Transportation Systems Society
Downloads 1,660 (10,155)
Citation 2

Abstract:

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Limit order book, Inverse Reinforcement Learning, Markov Decision Process, Maximum likelihood, Price impact, High Frequency Trading

2.

An Agent Based Model of the E-Mini S&P 500 and the Flash Crash

Number of pages: 8 Posted: 23 Sep 2011 Last Revised: 18 Jul 2012
Government of the United States of America - Office of Financial Research, University of Virginia, University of Virginia, Stevens Institute of Technology, IEEE Intelligent Transportation Systems Society and University of Virginia, Dept. of System & Information Engineering
Downloads 515 (54,699)
Citation 9

Abstract:

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Agent Base, Flash Crash, S&P 500, Zero-Intelligence

3.

Agent Based Model of the E-Mini S&P 500 Future: Application for Policy Making

Proceedings of the 2012 Winter Simulation Conference
Number of pages: 12 Posted: 19 Jul 2012 Last Revised: 20 Jun 2013
University of Virginia, Government of the United States of America - Office of Financial Research, University of Virginia, Stevens Institute of Technology, University of Virginia, Dept. of System & Information Engineering and IEEE Intelligent Transportation Systems Society
Downloads 212 (147,003)
Citation 7

Abstract:

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Agent Based Model, Agent, E-MINI S&P 500, Minimum Quote Life, Policy, Rule Making

4.

Effects of Limit Order Book Information Level on Market Stability Metrics

Journal of Economic Interaction and Coordination, Forthcoming, Office of Financial Research Working Paper No. 14-09
Number of pages: 27 Posted: 22 Aug 2015 Last Revised: 12 Nov 2015
Government of the United States of America - Office of Financial Research, University of Virginia, University of Virginia and University of Virginia, Dept. of System & Information Engineering
Downloads 200 (155,335)

Abstract:

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5.

Revolutionizing Financial Engineering Education: Simulation-Based Strategies for Learning

Number of pages: 19 Posted: 08 Jan 2013 Last Revised: 19 Mar 2013
University of Virginia, Government of the United States of America - Office of Financial Research, University of Virginia and University of Virginia
Downloads 118 (241,357)
Citation 1

Abstract:

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market microstructure, financial engineering, simulation, education

6.

An Agent-Based Financial Simulation for Use by Researchers

Number of pages: 10 Posted: 12 Apr 2014 Last Revised: 17 Apr 2014
University of Virginia, University of Virginia, University of Virginia, University of Virginia, University of Virginia, Dept. of System & Information Engineering and University of Virginia
Downloads 112 (250,583)

Abstract:

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Agent-based, Finance, High Frequency Traders, Regulation, Policy