Do stylised facts of order book markets need strategic behaviour?

DOI10.1016/j.jedc.2008.09.005zbMath1170.91388MaRDI QIDQ2271672

Klaus Reiner Schenk-Hoppé, Dan Ladley

Publication date: 7 August 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.09.005

zbMATH Keywords

market dynamics; limit orders; non-strategic behaviour; order book markets; stylised facts

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

93E03: Stochastic systems in control theory (general)

Related Items

A behavioural model of investor sentiment in limit order markets, Order aggressiveness, pre-trade transparency, and long memory in an order-driven market, Price dynamics in an order-driven market with Bayesian learning

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