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...High frequency trading strategies market fragility and price spikes an agent based model perspective ash booth raju chinthalapati enrico gerding frank mcgroarty abstract given recent requirements for ensuring the robustness of algorithmic laid out in markets financial instruments directive ii mifid this paper proposes a novel simulation exploring algo rithmic five dierent types agents are present statistical properties simulated compared with equity mar ket depth data from chi x exchange found to be signicantly similar is able reproduce number stylised including clustered volatility autocorrelation returns long memory order ow concave impact presence extreme events results insensitive reasonable parameter variations keywords limit book facts introduction over last three decades there has been signicant change nancial ecosystem have transformed exclusively human driven sys tems predominantly computer these machine foundations new breed trader algorithm according rithmically generated or...