Statistical Analysis and Agent-Based Microstructure Modeling of High-Frequency Financial Trading

Abstract

A simulation of high-frequency market data is performed with the Genoa Artificial Stock Market. Heterogeneous agents trade a risky asset in exchange for cash. Agents have zero intelligence and issue random limit or market orders depending on their budget constraints. The price is cleared by means of a limit order book. A renewal order-generation process is… (More)
DOI: 10.1109/JSTSP.2011.2174192

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