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On Simulation of Various Effects in Consolidated Order Book

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  • A. O. Glekin
  • A. Lykov
  • K. L. Vaninsky

Abstract

This paper consists of two parts. The first part is devoted to empirical analysis of consolidated order book (COB) for the index 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 phenomenons. 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 is the disbalance of liquidity in the COB and another is the disbalance of sell and buy orders in the order flow.

Suggested Citation

  • A. O. Glekin & A. Lykov & K. L. Vaninsky, 2014. "On Simulation of Various Effects in Consolidated Order Book," Papers 1402.4150, arXiv.org.
  • Handle: RePEc:arx:papers:1402.4150
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    File URL: http://arxiv.org/pdf/1402.4150
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    References listed on IDEAS

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    1. Eric Smith & J Doyne Farmer & Laszlo Gillemot & Supriya Krishnamurthy, 2003. "Statistical theory of the continuous double auction," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 481-514.
    2. Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002. "Statistical properties of stock order books: empirical results and models," Science & Finance (CFM) working paper archive 0203511, Science & Finance, Capital Fund Management.
    3. Gode, Dhananjay K & Sunder, Shyam, 1993. "Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality," Journal of Political Economy, University of Chicago Press, vol. 101(1), pages 119-137, February.
    4. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-1689, December.
    5. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
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    Cited by:

    1. Alexander Lykov & Stepan Muzychka & Kirill Vaninsky, 2016. "Investor'S Sentiment In Multi-Agent Model Of The Continuous Double Auction," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-29, September.

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