Order Placement in a Continuous Double Auction Agent Based Model
Modeling intraday financial markets by means of agent based models requires an additional building block which reflects the order execu- tion, i.e. the trading process. Current implementations rely only on stochastic placement strategies, ranging from total randomness to adding some bud- get constr...
Salvato in:
Pubblicato in: | MAGKS - Joint Discussion Paper Series in Economics (Band 43-2014b) |
---|---|
Autore principale: | |
Natura: | Articolo |
Lingua: | inglese |
Pubblicazione: |
Philipps-Universität Marburg
2014
|
Soggetti: | |
Accesso online: | PDF Full Text |
Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
Riassunto: | Modeling intraday financial markets by means of agent based
models requires an additional building block which reflects the order execu- tion, i.e. the trading process. Current implementations rely only on stochastic placement strategies, ranging from total randomness to adding some bud- get constraints. This contribution addresses the issue of order placement for low-tech traders, by replacing the zero-intelligence assumption with a microtrading-based approach. The results show that the power-law decaying relative price distribution of off-spread limit orders and the concave shape of the overall market price impact can be replicated when rational order submission strategies are used. |
---|---|
Descrizione fisica: | 31 Seiten |
ISSN: | 1867-3678 |
DOI: | 10.17192/es2024.0344 |