Order Placement in a Continuous Double Auction Agent Based Model

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...

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Bibliografiska uppgifter
I publikationen:MAGKS - Joint Discussion Paper Series in Economics (Band 43-2014b)
Huvudupphovsman: Mandes, Alexandru
Materialtyp: Artikel
Språk:engelska
Publicerad: Philipps-Universität Marburg 2014
Ämnen:
order placement
contin- uous double auction
agent based modeling
high-frequency financial markets
Wirtschaft
market impact
Economics
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Beskrivning
Sammanfattning: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.
Fysisk beskrivning:31 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0344

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