کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099165 | 1376990 | 2009 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Do stylised facts of order book markets need strategic behaviour?
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper studies the role of the order book market mechanism in shaping price movements and the order flow in a zero-intelligence agent model of a dynamic limit-order market. The results indicate that many stylised facts of limit-order markets are not dependent on individual strategic behaviour; they can be obtained from the interaction of the market mechanism and non-strategic agents. Positive correlation in order types, the shape of the order book and short term price predictability, for instance, do not require strategic considerations by individual traders. In contrast the absolute probabilities of order submission highlight the contribution of strategic behaviour to market dynamics.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 33, Issue 4, April 2009, Pages 817-831
Journal: Journal of Economic Dynamics and Control - Volume 33, Issue 4, April 2009, Pages 817-831
نویسندگان
Dan Ladley, Klaus Reiner Schenk-Hoppé,