A simple microstructure model of double auction markets
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2002 with number 44.
Date of creation: 01 Jul 2002
Date of revision:
market microstructure; limit order trading;
Find related papers by JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- D4 - Microeconomics - - Market Structure and Pricing
- G1 - Financial Economics - - General Financial Markets
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- Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2013. "Learning and Information Dissemination in Limit Order Markets," Research Paper Series 333, Quantitative Finance Research Centre, University of Technology, Sydney.
- Carl Chiarella & Giulia Iori, 2005.
"The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows,"
Research Paper Series
152, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chiarella, C. & Iori, G. & Perello, J., 2008. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Working Papers 08/04, Department of Economics, City University London.
- Carl Chiarella & Giulia Iori & Josep Perello, 2007. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Papers 0711.3581, arXiv.org.
- Krause, Andreas, 2006. "Fat tails and multi-scaling in a simple model of limit order markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 368(1), pages 183-190.
- Jeannin, M. & Iori, G. & Samuel, D., 2006.
"Modeling stock pinning,"
06/04, Department of Economics, City University London.
- LeBaron, Blake & Yamamoto, Ryuichi, 2007. "Long-memory in an order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 85-89.
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