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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...
Gardado en:
| Publicado en: | MAGKS - Joint Discussion Paper Series in Economics (Band 43-2014b) |
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| Autor Principal: | |
| Formato: | Artigo |
| Idioma: | inglés |
| Publicado: |
Philipps-Universität Marburg
2014
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| Schlagworte: | |
| Acceso en liña: | Texto completo PDF |
| Tags: |
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| Zusammenfassung: | 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. |
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| Descrición Física: | 31 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0344 |