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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Publikašuvnnas:MAGKS - Joint Discussion Paper Series in Economics (Band 43-2014b)
Váldodahkki: Mandes, Alexandru
Materiálatiipa: Artihkal
Giella:eaŋgalasgiella
Almmustuhtton: Philipps-Universität Marburg 2014
Fáttát:
order placement
contin- uous double auction
agent based modeling
high-frequency financial markets
Wirtschaft
market impact
Economics
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