Quickest detection of market shocks in agent based models of the order book

Proceedings of the IEEE Conference on Decision and Control

Volumn , Issue , 2012, Pages 1480-1485

  Krishnamurthy, Vikram ^a   Aryan, Anup ^a  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

AUTONOMOUS AGENTS; BAYESIAN NETWORKS; COMPUTATIONAL METHODS; MULTI AGENT SYSTEMS; SIMULATION PLATFORM;

AGENT-BASED MODEL; BAYESIAN FORMULATION; CHANGE POINT DETECTION; CHANGE-POINT PROBLEM; DECISION POLICY; MULTI-AGENT MODEL; OPTIMAL POLICIES; QUICKEST DETECTION;

COMMERCE;

EID: 84874241068     PISSN: 07431546     EISSN: 25762370     Source Type: Conference Proceeding    
DOI: 10.1109/CDC.2012.6426166     Document Type: Conference Paper

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