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

DOI10.1080/14697680500041437MaRDI QIDQ5697338zbMATHOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(7)

• Microstructure-based order placement in a continuous double auction agent based model
• A simulation analysis of the microstructure of double auction markets
• How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders
• 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
• Institutional architectures and behavioral ecologies in the dynamics of financial markets
• Learning multi-market microstructure from order book data

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