A simple microstructure model of double auction markets
AbstractNo abstract is available for this item.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
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
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Chiarella, C. & Iori, G. & Perello, J., 2008.
"The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows,"
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.
- 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.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.