A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices

DOI10.1080/14697680500041437zbMATH Open1118.91314OpenAlexW2002813143MaRDI QIDQ5697338FDOQ5697338

Authors: Andrea Consiglio, V. Lacagnina, Annalisa Russino 

Publication date: 17 October 2005

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10447/33274

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Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Who wins? Study of long-run trader survival in an artificial stock market
• Agent-based simulation of a financial market

Cited In (5)

• Learning multi-market microstructure from order book data
• Institutional architectures and behavioral ecologies in the dynamics of financial markets
• The impact of heterogeneous trading rules on the limit order book and order flows
• Using multi-agent simulation to understand trading dynamics of a derivatives market
• How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders

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