Publikationsserver
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...
Wedi'i Gadw mewn:
| Cyhoeddwyd yn: | MAGKS - Joint Discussion Paper Series in Economics (Band 43-2014b) |
|---|---|
| Prif Awdur: | |
| Fformat: | Erthygl |
| Iaith: | Saesneg |
| Cyhoeddwyd: |
Philipps-Universität Marburg
2014
|
| Pynciau: | |
| Mynediad Ar-lein: | Testun PDF llawn |
| Tagiau: |
Ychwanegu Tag
Dim Tagiau, Byddwch y cyntaf i dagio'r cofnod hwn!
|
| Crynodeb: | 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. |
|---|---|
| Disgrifiad Corfforoll: | 31 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0344 |