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

DOI10.1016/j.physa.2019.122507OpenAlexW2972250111WikidataQ127319779 ScholiaQ127319779MaRDI QIDQ2164603

Hiroshi Okuda, Yu Chen, Yushi Yoshimura

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

power-law distributionagent-based modelfinancial marketorder cancellationorder book statistics

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• 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
• A simulation analysis of the microstructure of double auction markets*

This page was built for publication: A mathematical formulation of order cancellation for the agent-based modelling of financial markets