Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/105067
Authors: 
Mandes, Alexandru
Year of Publication: 
2014
Series/Report no.: 
Joint Discussion Paper Series in Economics 43-2014
Abstract: 
Modeling intraday financial markets by means of agent based models requires an additional building block which reflects the order execution, i.e. the trading process. Current implementations rely only on stochastic placement strategies, ranging from total randomness to adding some budget constraints. This contribution addresses the issue of order placement for low-tech traders, by replacing the zero-intelligence assumption with a microtrading-based approach. The results show that the power-law decaying relative price distribution of off-spread limit orders and the concave shape of the overall market price impact can be replicated when rational order submission strategies are used.
Subjects: 
agent based modeling
high-frequency financial markets
continuous double auction
order placement
market impact
JEL: 
C63
N20
Document Type: 
Working Paper

Files in This Item:
File
Size
886.22 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.