Microstructure-based order placement in a continuous double auction agent based model
نویسندگان
چکیده
منابع مشابه
Microstructure-based order placement in a continuous double auction agent based model
This contribution proposes a novel order placement strategy which can be used for simulating continuous double auction financial markets, within an agent-based model framework. The order placement decision is given by an optimization problem which minimizes the risk adjusted execution cost, taking into consideration relevant market microstructure factors and intrinsic agent characteristics. Thi...
متن کاملA Random Order Placement Model of Price Formation in the Continuous Double Auction
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this chapter we use a microscopic dynamical statistical model for the continuous double auction under the assumption of IID random order flow. The analysis is based on simulation, dimensional analysis, and theoretical tools based on mean-field approximations. The model ma...
متن کاملA Comparative Study of Multi-Attribute Continuous Double Auction Mechanisms
Auctions have been as a competitive method of buying and selling valuable or rare items for a long time. Single-sided auctions in which participants negotiate on a single attribute (e.g. price) are very popular. Double auctions and negotiation on multiple attributes create more advantages compared to single-sided and single-attribute auctions. Nonetheless, this adds the complexity of the auctio...
متن کاملAgent-Human Interactions in the Continuous Double Auction
The Continuous Double Auction (CDA) is the dominant market institution for real-world trading of equities, commodities, derivatives, etc. We describe a series of laboratory experiments that, for the first time, allow human subjects to interact with software bidding agents in a CDA. Our bidding agents use strategies based on extensions of the Gjerstad-Dickhaut and Zero-Intelligence-Plus algorith...
متن کاملmortality forecasting based on lee-carter model
over the past decades a number of approaches have been applied for forecasting mortality. in 1992, a new method for long-run forecast of the level and age pattern of mortality was published by lee and carter. this method was welcomed by many authors so it was extended through a wider class of generalized, parametric and nonlinear model. this model represents one of the most influential recent d...
15 صفحه اولذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Algorithmic Finance
سال: 2015
ISSN: 2158-5571,2157-6203
DOI: 10.3233/af-150049