On Simulation of Various Effects in Consolidated Order Book

Kirill Vaninsky, Alexander Lykov and Alexander Glekin

A chapter in Trade and Global Market from IntechOpen

Abstract: This chapter is devoted to numerical computer simulation of the market mechanism, the consolidated order book (COB). The chapter consists of two parts. The first part is devoted to empirical analysis of consolidated order book (COB) for the index Russian trading system (RTS) futures. In the second part, we consider Poissonian multi-agent model of the COB. By varying parameters of different groups of agents submitting orders to the book, we are able to model various real-life phenomena. In particular, we model the spread, the profile of the book and large price changes. Two different mechanisms of large price changes are considered in detail. One such mechanism is due to a disbalance of liquidity in the COB, and another one is arising from the disbalance of sell and buy orders in the order flow.

Keywords: market mechanism; multi-agent model; price change (search for similar items in EconPapers)
JEL-codes: P33 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ito:pchaps:161173

DOI: 10.5772/intechopen.78670

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