A multi agent model for the limit order book dynamics

DOI10.1140/epjb/e2010-10406-4zbMath1256.91020arXiv1005.0182MaRDI QIDQ1938091

Margherita Bartolozzi

Publication date: 3 February 2013

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.0182

zbMATH Keywords

multi-agent model; double auction market

Mathematics Subject Classification ID

91B26: Auctions, bargaining, bidding and selling, and other market models

37N40: Dynamical systems in optimization and economics

91B69: Heterogeneous agent models

Related Items

Self-Organization, Resilience and Robustness of Complex Systems Through an Application to Financial Market from an Agent-Based Approach, Particle-scale modelling of financial price dynamics, Partial information, market efficiency, and anomalous continuous phase transition

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