Price dynamics in an order-driven market with Bayesian learning (Q1723051)
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scientific article; zbMATH DE number 7025050
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| English | Price dynamics in an order-driven market with Bayesian learning |
scientific article; zbMATH DE number 7025050 |
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Price dynamics in an order-driven market with Bayesian learning (English)
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19 February 2019
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Summary: In this paper, we have developed a model of limit order book with learning mechanism and investigated its price dynamics. In this model, continuous Bayesian learning is introduced to describe the dynamics of self-adjusting learning mechanism of agents, which can result in some important stylized facts of limit order markets. This study also provides some behavioral explanations for these well-known stylized facts that are commonly observed in the financial markets.
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