Andrew Todd

University of Virginia

PhD Candidate, Systems & Information Engineering

1400 University Ave

Charlottesville, VA 22903

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 19,135

SSRN RANKINGS

Top 19,135

in Total Papers Downloads

2,563

SSRN CITATIONS
Rank 41,511

SSRN RANKINGS

Top 41,511

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 (10,171)
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 517 (54,509)
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 (147,175)
Citation 7

Abstract:

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

4.

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 (250,834)

Abstract:

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

5.

Latency Arbitrage When Markets Become Faster

Riksbank Research Paper Series No. 162, Sveriges Riksbank Working Paper Series No. 338
Number of pages: 32 Posted: 26 Jan 2018
Carnegie Mellon University - David A. Tepper School of Business, University of Virginia and University of Virginia
Downloads 62 (359,185)

Abstract:

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Cross-market Arbitrage, Information Efficiency, High Frequency Trading

6.

Visualizations for Financial Market Regulation

Posted: 18 Apr 2013 Last Revised: 16 Apr 2015
Government of the United States of America - Office of Financial Research, Government of the United States of America - Department of the Treasury, University of Virginia, IEEE Intelligent Transportation Systems Society and University of Virginia, Dept. of System & Information Engineering

Abstract:

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Visual Anaylsis, Financial Market Regulation, Financial Data, Electronic Order Book