Microstructure Based Order Placement In A Continuous Double Auction Agent Based Model

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Microstructure Based Order Placement In A Continuous Double Auction Agent Based Model

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Author : Alexandru Mandeş
language : en
Publisher:
Release Date : 2016

Microstructure Based Order Placement In A Continuous Double Auction Agent Based Model written by Alexandru Mandeş and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

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. This order submission process is more realistic than has been done previously and contributes to a higher fidelity of the intraday market dynamics. The results show that, as opposed to random submission strategies, high-frequency stylized facts such as the concave shape of the market price impact function and the power-law decaying relative price distribution of off-spread limit orders are replicated. Therefore, the resulting model can be used as a realistic test environment for high-frequency trading strategies, in the context of the current, heated debate over the impact of high-frequency trading. Not only the impact of individual trading strategies can be analyzed, but also the interdependencies and the global emergent behavior of multiple coexistent strategies. Moreover, innovative regulatory policies, which have not been tested yet under real market conditions, could be inspected.Enhanced content available, see PDF for details.

Financial Econometrics And Empirical Market Microstructure

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Author : Anil K. Bera
language : en
Publisher: Springer
Release Date : 2014-11-18

Financial Econometrics And Empirical Market Microstructure written by Anil K. Bera and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-18 with Business & Economics categories.

In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis. ​

An Agent Based Simulation Of Double Auction Markets Microform

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Author : Ted Xiao Guo
language : en
Publisher: Library and Archives Canada = Bibliothèque et Archives Canada
Release Date : 2005

An Agent Based Simulation Of Double Auction Markets Microform written by Ted Xiao Guo and has been published by Library and Archives Canada = Bibliothèque et Archives Canada this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

Agent-based simulation has emerged as a promising research alternative to the traditional analytical approach in studying financial markets. The idea behind agent-based simulation is to constructively model a market in a bottom-up fashion using artificial agents. This thesis aims to accomplish four objectives. The first objective is to present a high-quality software platform that is capable of carrying out agent-based financial market simulations. The second objective is to simulate a double-auction market with this software platform, using homogeneous zero-intelligence agents. The simulation is based on the artificial market model proposed by Smith; Farmer, Gillermot and Krishnamurthy (2003). The third objective is to study the microstructure properties of the simulated double-auction market. In particular, we investigate certain statistical properties for the mid-price, bid-ask spread and limit order book. The fourth and the last objective is to explore and evaluate trading strategies associated with the time-constrained asset liquidation problem through computational agents.

Topics In Market Microstructure

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Author : Ilija I. Zovko
language : en
Publisher: Amsterdam University Press
Release Date : 2008-09-01

Topics In Market Microstructure written by Ilija I. Zovko and has been published by Amsterdam University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-01 with Business & Economics categories.

Market microstructure is a study of the processes through which the investors predictions of the future and their trading strategies determine market prices. Recent advances in market microstructure have been made possible by the proliferation of computers in the trading process and the availability of high quality financial data. This has attracted researchers from various disciplines (e.g., finance, physics, computer science) creating an interdisciplinary research arena with the common goal of understanding a very complicated yet very well documented by data system of a large number of interacting intelligent agents. This book contains four papers in which the authors investigate the interactions of investors strategies and the resulting aggregate properties of transaction prices.

Bidding Strategies In Agent Based Continuous Double Auctions

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Author : Huiye Ma
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-09-15

Bidding Strategies In Agent Based Continuous Double Auctions written by Huiye Ma and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-15 with Computers categories.

This book provides a new bidding strategy for agents to adopt in continuous double auctions (CDAs) and proposes some generally used tools to enhance the performance of existing bidding strategies in CDAs. It is the first book to focus on CDAs where a limited amount of seller agents and buyer agents trade what they want. The superior performance of the new bidding strategy and the tools proposed by this book are illustrated through extensive experiments.

Limit Order Books

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Author : Frédéric Abergel
language : en
Publisher: Cambridge University Press
Release Date : 2016-05-09

Limit Order Books written by Frédéric Abergel and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-09 with Business & Economics categories.

This text presents different models of limit order books and introduces a flexible open-source library, useful to those studying trading strategies.

Proceedings Of The National Academy Of Sciences Of The United States Of America

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Author :
language : en
Publisher:
Release Date : 2005

Proceedings Of The National Academy Of Sciences Of The United States Of America written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Science categories.

Trades Quotes And Prices

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Author : Jean-Philippe Bouchaud
language : en
Publisher: Cambridge University Press
Release Date : 2018-03-22

Trades Quotes And Prices written by Jean-Philippe Bouchaud and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-22 with Business & Economics categories.

A deep-dive into the heart of modern financial markets, the authors explore why and how people trade - and the consequences.

Trading And Exchanges

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Author : Larry Harris
language : en
Publisher: OUP USA
Release Date : 2003

Trading And Exchanges written by Larry Harris and has been published by OUP USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.

Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).

Agent Based Modelling And Market Microstructure

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Author : Jing Yang
language : en
Publisher:
Release Date : 2002

Agent Based Modelling And Market Microstructure written by Jing Yang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.