The impact of heterogeneous trading rules on the limit order book and order flows

DOI10.1016/j.jedc.2008.08.001zbMath1170.91371arXiv0711.3581OpenAlexW2133756959MaRDI QIDQ2271649

Carl Chiarella, Josep Perelló, Giulia Iori

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

zbMATH Keywords

market microstructurelimit orderslarge fluctuationschartismfundamentalism

Mathematics Subject Classification ID

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Cites Work

• Institutional architectures and behavioral ecologies in the dynamics of financial markets
• Asset price and wealth dynamics in a financial market with heterogeneous agents
• Power-law behaviour, heterogeneity, and trend chasing
• A simple general approach to inference about the tail of a distribution
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• More statistical properties of order books and price impact
• Microeconomic Models for Long Memory in the Volatility of Financial Time Series
• Order book approach to price impact
• There's more to volatility than volume
• Heterogeneity, convergence, and autocorrelations
• Long-Term Memory in Stock Market Prices
• What really causes large price changes?
• Financial markets as nonlinear adaptive evolutionary systems
• Statistical properties of stock order books: empirical results and models
• A simulation analysis of the microstructure of double auction markets*
• The power of patience: a behavioural regularity in limit-order placement
• A steady-state model of the continuous double auction
• Fundamentalists clashing over the book: a study of order-driven stock markets
• On the origin of power-law tails in price fluctuations
• On the origin of power-law fluctuations in stock prices
• A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices
• Agent-based simulation of a financial market

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