The impact of heterogeneous trading rules on the limit order book and order flows
From MaRDI portal
Publication:2271649
DOI10.1016/j.jedc.2008.08.001zbMath1170.91371arXiv0711.3581MaRDI QIDQ2271649
Carl Chiarella, Giulia Iori, Josep Perelló
Publication date: 7 August 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0711.3581
91B74: Economic models of real-world systems (e.g., electricity markets, etc.)
Related Items
The market impact of a limit order, Order aggressiveness, pre-trade transparency, and long memory in an order-driven market, Staggered updating in an artificial financial market, Order-splitting and long-memory in an order-driven market, The role of communication and imitation in limit order markets, Asset prices, traders' behavior and market design
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