Microstructure-based order placement in a continuous double auction agent based model

DOI10.3233/AF-150049MaRDI QIDQ4586426zbMATH OpenOpenAlexFDO

Authors Alexandru Mandes

Publication date 13 September 2018

Published in Algorithmic Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/af-150049

zbMATH Keywords

agent based modelingcontinuous double auctionhigh-frequency simulationmarket price impactorder placement

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Actuarial science and mathematical finance (91G99)

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