Investor structure and the price-volume relationship in a continuous double auction market: an agent-based modeling perspective

DOI10.1016/J.PHYSA.2016.10.044zbMath1400.91237OpenAlexW2530711992MaRDI QIDQ1620242

Zhengzheng Bi, Dehua Shen, Wei Zhang

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.10.044

zbMATH Keywords

agent-based modelingMDHSIAHprice-volume relationshipcontinuous double auction marketinvestor structure

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Heterogeneous agent models (91B69)

Related Items (1)

Effects of common factors on dynamics of stocks traded by investors with limited information capacity

Cites Work

• On the probability distribution of stock returns in the Mike-Farmer model
• Self-organizing Ising model of financial markets
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

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