A multi agent model for the limit order book dynamics
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Publication:1938091
DOI10.1140/epjb/e2010-10406-4zbMath1256.91020arXiv1005.0182MaRDI QIDQ1938091
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
91B26: Auctions, bargaining, bidding and selling, and other market models
37N40: Dynamical systems in optimization and economics
91B69: Heterogeneous agent models
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