A mathematical formulation of order cancellation for the agent-based modelling of financial markets

DOI10.1016/J.PHYSA.2019.122507MaRDI QIDQ2164603zbMATH OpenOpenAlexWikidataFDO

Authors Yushi Yoshimura, H. Okuda, Yu Chen

Publication date 15 August 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2019.122507

zbMATH Keywords

agent-based modelfinancial marketorder book statisticsorder cancellationpower-law distribution

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• A simulation analysis of the microstructure of double auction markets
• Limit order market analysis and modelling: on a universal cause for over-diffusive prices
• The impact of heterogeneous trading rules on the limit order book and order flows

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