Order Placement in a Continuous Double Auction Agent Based Model

Alexandru Mandes ()
Additional contact information
Alexandru Mandes: University of Gießen

MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

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.

Keywords: agent based modeling; high-frequency financial markets; continuous double auction; order placement; market impact (search for similar items in EconPapers)
JEL-codes: C63 N20 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2014
New Economics Papers: this item is included in nep-cmp, nep-mst and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Forthcoming in

Downloads: (external link)
http://www.uni-marburg.de/fb02/makro/forschung/magkspapers/43-2014_mandes.pdf First 201443 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:201443

Access Statistics for this paper

More papers in MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) Contact information at EDIRC.
Bibliographic data for series maintained by Bernd Hayo ().