Price dynamics in an order-driven market with Bayesian learning
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Cites work
- A simulation analysis of the microstructure of double auction markets
- Agent-based simulation of a financial market
- An agent-based model of stock markets incorporating momentum investors
- Asset price and wealth dynamics in a financial market with heterogeneous agents
- Do stylised facts of order book markets need strategic behaviour?
- Elements for a theory of financial risks
- Empirical properties of asset returns: stylized facts and statistical issues
- Exact Hurst exponent and crossover behavior in a limit order market model
- HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
- Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
- Long range dependence in financial markets
- More statistical properties of order books and price impact
- On the origin of power-law fluctuations in stock prices
- Order-splitting and long-memory in an order-driven market
- Power-law behaviour, heterogeneity, and trend chasing
- Price fluctuations from the order book perspective - empirical facts and a simple model
- Statistical properties of stock order books: empirical results and models
- Statistical theory of the continuous double auction
- The impact of heterogeneous trading rules on the limit order book and order flows
- Varieties of agents in agent-based computational economics: a historical and an interdisciplinary perspective
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
Cited in
(18)- How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders
- Equilibrium pricing in an order book environment: case study for a spin model
- Learning, information processing and order submission in limit order markets
- Reinforcement learning equilibrium in limit order markets
- Do stylised facts of order book markets need strategic behaviour?
- Estimating the efficient price from the order flow: a Brownian Cox process approach
- A correction note for price dynamics in a Markovian limit order market
- Price dynamics in a Markovian limit order market
- A behavioural model of investor sentiment in limit order markets
- An empirical bayes adaptive price search∗
- Learning multi-market microstructure from order book data
- Dynamical trading mechanisms in limit order markets
- Bayesian price leadership
- Analysis of short-term price behavior under continuous double auction mechanism
- SECURITY MARKETS WITH PRICE LIMITS: A BAYESIAN APPROACH
- Examining the effectiveness of price limits in an artificial stock market
- Rule-based trading on an order-driven exchange: a reassessment
- Analysis and modeling of client order flow in limit order markets
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