Multi-Agent–Based Order Book Model of Financial Markets

  title={Multi-Agent–Based Order Book Model of Financial Markets},
  author={Tobias Preis and Sebastian Golke and Wolfgang Paul and Johannes J. Schneider},
  journal={European Finance eJournal},
We introduce a simple model for simulating financial markets, based on an order book, in which several agents trade one asset at a virtual exchange continuously. For a stationary market the structure of the model, the order flow rates of the different kinds of order types and the used price time priority matching algorithm produce only a diffusive price behavior. We show that a market trend, i.e. an asymmetric order flow of any type, leads to a non-trivial Hurst exponent for the price… 

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