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A simple microstructure model of double auction markets

Author

Listed:
  • Giulia Iori
  • Carl Chiarella

Abstract

No abstract is available for this item.

Suggested Citation

  • Giulia Iori & Carl Chiarella, 2002. "A simple microstructure model of double auction markets," Computing in Economics and Finance 2002 44, Society for Computational Economics.
    • Handle: RePEc:sce:scecf2:44
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    Citations

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    Cited by:

    1. Jeannin, M. & Iori, G. & Samuel, D., 2006. "Modeling stock pinning," Working Papers 06/04, Department of Economics, City University London.
    2. repec:cty:dpaper:10.1080/14697680701881763 is not listed on IDEAS
    3. Iori, G. & Daniels, M.G. & Farmer, J.D. & Gillemot, L. & Krishnamurthy, S. & Smith, E., 2003. "An analysis of price impact function in order-driven markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 146-151.
    4. 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.
    5. Jeannin, M. & Iori, G. & Samuel, D., 2006. "Modeling stock pinning," Working Papers 1447, Department of Economics, City University London.
    6. Chiarella, Carl & Iori, Giulia, 2009. "The impact of heterogeneous trading rules on the limit order book and order flows," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 525-537.
    7. Marc Jeannin & Giulia Iori & David Samuel, 2008. "Modeling stock pinning," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 823-831.
    8. Yuri Biondi & Pierpaolo Giannoccolo, 2015. "Share price formation, market exuberance and financial stability under alternative accounting regimes," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(2), pages 333-362, October.
    9. 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.
    10. Arifovic, Jasmina & He, Xue-zhong & Wei, Lijian, 2022. "Machine learning and speed in high-frequency trading," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    11. 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.

    More about this item

    Keywords

    market microstructure; limit order trading;

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • D4 - Microeconomics - - Market Structure, Pricing, and Design
    • G1 - Financial Economics - - General Financial Markets

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