Dokument
| Titel: | Order Placement in a Continuous Double Auction Agent Based Model |
| Autor: | Mandes, Alexandru |
| Veröffentlicht: | 2014 |
| URI: | https://archiv.ub.uni-marburg.de/es/2024/0344 |
| DOI: | https://doi.org/10.17192/es2024.0344 |
| ISSN: | 1867-3678 |
| DDC: | 330 Wirtschaft |
| Publikationsdatum: | 2024-01-12 |
| Lizenz: | https://creativecommons.org/publicdomain/mark/1.0 |
| Schlagwörter: |
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| contin- uous double auction, high-frequency financial markets, agent based modeling, market impact, order placement |
Summary:
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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