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The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows

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Cited by:

  1. Luisanna Cocco & Michele Marchesi, 2016. "Modeling and Simulation of the Economics of Mining in the Bitcoin Market," PLOS ONE, Public Library of Science, vol. 11(10), pages 1-31, October.
  2. Lamperti, Francesco & Roventini, Andrea & Sani, Amir, 2018. "Agent-based model calibration using machine learning surrogates," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 366-389.
  3. Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Johann Lussange & Ivan Lazarevich & Sacha Bourgeois-Gironde & Stefano Palminteri & Boris Gutkin, 2021. "Modelling Stock Markets by Multi-agent Reinforcement Learning," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 113-147, January.
  5. Paolo Pellizzari & Dan Ladley, 2014. "The simplicity of optimal trading in order book markets," Working Papers 2014:05, Department of Economics, University of Venice "Ca' Foscari".
  6. Ahmed El OUBANI & Mostafa LEKHAL, 2022. "Conception d’un modèle microscopique adapté aux marchés financiers émergents," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 13(1), pages 17-30, June.
  7. Yamamoto, Ryuichi, 2019. "Dynamic Predictor Selection And Order Splitting In A Limit Order Market," Macroeconomic Dynamics, Cambridge University Press, vol. 23(5), pages 1757-1792, July.
  8. J. Lussange & A. Belianin & S. Bourgeois-Gironde & B. Gutkin, 2018. "A bright future for financial agent-based models," Papers 1801.08222, arXiv.org.
  9. Rocco Caferra & Gabriele Tedeschi & Andrea Morone, 2023. "Agents interaction and price dynamics: evidence from the laboratory," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(2), pages 251-274, April.
  10. Yosra Mefteh Rekik & Younes Boujelbene, 2015. "Price Dynamics and Market Volatility: Behavioral Heterogeneity under Switching Trading Strategies on Artificial Financial Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 33-43, April.
  11. Alexandru Mandes & Peter Winker, 2017. "Complexity and model comparison in agent based modeling of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 469-506, October.
  12. Tedeschi, Gabriele & Iori, Giulia & Gallegati, Mauro, 2012. "Herding effects in order driven markets: The rise and fall of gurus," Journal of Economic Behavior & Organization, Elsevier, vol. 81(1), pages 82-96.
  13. Tubbenhauer, Tobias & Fieberg, Christian & Poddig, Thorsten, 2021. "Multi-agent-based VaR forecasting," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
  14. Efstathios Panayi & Gareth W. Peters, 2015. "Stochastic simulation framework for the limit order book using liquidity-motivated agents," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-52.
  15. Danilo Liuzzi & Paolo Pellizzari & Marco Tolotti, 2019. "Fast traders and slow price adjustments: an artificial market with strategic interaction and transaction costs," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 643-662, September.
  16. Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
  17. Iris Lucas & Michel Cotsaftis & Cyrille Bertelle, 2018. "Self-Organization, Resilience and Robustness of Complex Systems Through an Application to Financial Market from an Agent-Based Approach," Post-Print hal-02114928, HAL.
  18. Isao Yagi & Shunya Maruyama & Takanobu Mizuta, 2020. "Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation," Papers 2010.13036, arXiv.org.
  19. Jan Polach & Jiri Kukacka, 2019. "Prospect Theory in the Heterogeneous Agent Model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(1), pages 147-174, March.
  20. Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2018. "Market entry waves and volatility outbursts in stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 19-37.
  21. Paolo Mazza & Mikael Petitjean, 2019. "Testing the effect of technical analysis on market quality and order book dynamics," Applied Economics, Taylor & Francis Journals, vol. 51(18), pages 1947-1976, April.
  22. Simone Berardi & Gabriele Tedeschi, 2016. "How banks’ strategies influence financial cycles: An approach to identifying micro behavior," Working Papers 2016/24, Economics Department, Universitat Jaume I, Castellón (Spain).
  23. Marko Petrovic & Bulent Ozel & Andrea Teglio & Marco Raberto & Silvano Cincotti, 2017. "Eurace Open: An agent-based multi-country model," Working Papers 2017/09, Economics Department, Universitat Jaume I, Castellón (Spain).
  24. repec:hal:spmain:info:hdl:2441/20hflp7eqn97boh50no50tv67n is not listed on IDEAS
  25. Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2015. "A calibration procedure for analyzing stock price dynamics in an agent-based framework," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 1-25.
  26. Derick Diana & Tim Gebbie, 2023. "Anomalous diffusion and price impact in the fluid-limit of an order book," Papers 2310.06079, arXiv.org, revised Jan 2024.
  27. Isao Yagi & Mahiro Hoshino & Takanobu Mizuta, 2020. "Analysis of the impact of maker-taker fees on the stock market using agent-based simulation," Papers 2010.08992, arXiv.org.
  28. Fabio Della Rossa & Lorenzo Giannini & Pietro DeLellis, 2020. "Herding or wisdom of the crowd? Controlling efficiency in a partially rational financial market," PLOS ONE, Public Library of Science, vol. 15(9), pages 1-16, September.
  29. José Da Fonseca & Riadh Zaatour, 2017. "Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(3), pages 260-285, March.
  30. Donovan Platt & Tim Gebbie, 2016. "The Problem of Calibrating an Agent-Based Model of High-Frequency Trading," Papers 1606.01495, arXiv.org, revised Mar 2017.
  31. Johann Lussange & Boris Gutkin, 2023. "Order book regulatory impact on stock market quality: a multi-agent reinforcement learning perspective," Papers 2302.04184, arXiv.org.
  32. Bao, Te & Corgnet, Brice & Hanaki, Nobuyuki & Riyanto, Yohanes E. & Zhu, Jiahua, 2023. "Predicting the unpredictable: New experimental evidence on forecasting random walks," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
  33. Mohammad Zare & Omid Naghshineh Arjmand & Erfan Salavati & Adel Mohammadpour, 2021. "An Agent‐Based model for Limit Order Book: Estimation and simulation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1112-1121, January.
  34. Forsyth, P.A. & Kennedy, J.S. & Tse, S.T. & Windcliff, H., 2012. "Optimal trade execution: A mean quadratic variation approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1971-1991.
  35. Lu, Jingen & Chen, Xiaohong & Liu, Xiaoxing, 2018. "Stock market information flow: Explanations from market status and information-related behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 837-848.
  36. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yongjie Zhang & Wei Chen & Wei-Xing Zhou, 2021. "An empirical behavioral order-driven model with price limit rules," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-24, December.
  37. Platt, Donovan & Gebbie, Tim, 2018. "Can agent-based models probe market microstructure?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1092-1106.
  38. Xing Gao & Daniel Ladley, 2022. "Noise trading and market stability," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1283-1301, October.
  39. Vidal-Tomás, David, 2022. "Which cryptocurrency data sources should scholars use?," International Review of Financial Analysis, Elsevier, vol. 81(C).
  40. Erdinc Akyildirim & Shaen Corbet & Guzhan Gulay & Duc Khuong Nguyen & Ahmet Sensoy, 2019. "Order Flow Persistence in Equity Spot and Futures Markets: Evidence from a Dynamic Emerging Market," Working Papers 2019-011, Department of Research, Ipag Business School.
  41. Jovanovic, Franck & Schinckus, Christophe, 2016. "Breaking down the barriers between econophysics and financial economics," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 256-266.
  42. Kyubin Yim & Gabjin Oh & Seunghwan Kim, 2015. "Understanding Financial Market States Using Artificial Double Auction Market," Papers 1503.00913, arXiv.org.
  43. Xiaotao Zhang & Jing Ping & Tao Zhu & Yuelei Li & Xiong Xiong, 2016. "Are Price Limits Effective? An Examination of an Artificial Stock Market," PLOS ONE, Public Library of Science, vol. 11(8), pages 1-21, August.
  44. Hautsch, Nikolaus & Huang, Ruihong, 2012. "The market impact of a limit order," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 501-522.
  45. Lof, Matthijs, 2012. "Heterogeneity in stock prices: A STAR model with multivariate transition function," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1845-1854.
  46. Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou, 2014. "An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-10, April.
  47. Kluger, Brian D. & McBride, Mark E., 2011. "Intraday trading patterns in an intelligent autonomous agent-based stock market," Journal of Economic Behavior & Organization, Elsevier, vol. 79(3), pages 226-245, August.
  48. Francesco Lamperti, 2018. "Empirical validation of simulated models through the GSL-div: an illustrative application," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(1), pages 143-171, April.
  49. Sunyoung Lee & Keun Lee, 2021. "3% rules the market: herding behavior of a group of investors, asset market volatility, and return to the group in an agent-based model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(2), pages 359-380, April.
  50. Tedeschi, Gabriele & Recchioni, Maria Cristina & Berardi, Simone, 2019. "An approach to identifying micro behavior: How banks’ strategies influence financial cycles," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 329-346.
  51. Lijian Wei & Wei Zhang & Xiong Xiong & Yu Zhao, 2014. "A Multi‐agent System for Policy Design of Tick Size in Stock Index Futures Markets," Systems Research and Behavioral Science, Wiley Blackwell, vol. 31(4), pages 512-526, July.
  52. 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.
  53. Roberto Mota Navarro & Hernán Larralde, 2017. "A detailed heterogeneous agent model for a single asset financial market with trading via an order book," PLOS ONE, Public Library of Science, vol. 12(2), pages 1-27, February.
  54. Carl Chiarella & Xue-Zhong He & Lijian Wei, 2013. "Learning and Evolution of Trading Strategies in Limit Order Markets," Research Paper Series 335, Quantitative Finance Research Centre, University of Technology, Sydney.
  55. Mingjie Ji & Honggang Li, 2016. "Exploring Price Fluctuations in a Double Auction Market," Computational Economics, Springer;Society for Computational Economics, vol. 48(2), pages 189-209, August.
  56. Gsell, Markus, 2008. "Assessing the impact of algorithmic trading on markets: A simulation approach," CFS Working Paper Series 2008/49, Center for Financial Studies (CFS).
  57. Yamamoto, Ryuichi, 2011. "Order aggressiveness, pre-trade transparency, and long memory in an order-driven market," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1938-1963.
  58. Chiarella, Carl & He, Xue-Zhong & Wei, Lijian, 2015. "Learning, information processing and order submission in limit order markets," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 245-268.
  59. Lamperti, Francesco & Roventini, Andrea & Sani, Amir, 2018. "Agent-based model calibration using machine learning surrogates," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 366-389.
  60. 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).
  61. Isao Yagi & Atsushi Nozaki & Takanobu Mizuta, 2017. "Investigation of the rule for investment diversification at the time of a market crash using an artificial market simulation," Evolutionary and Institutional Economics Review, Springer, vol. 14(2), pages 451-465, December.
  62. Donovan Platt & Tim Gebbie, 2016. "Can Agent-Based Models Probe Market Microstructure?," Papers 1611.08510, arXiv.org, revised Aug 2017.
  63. Luis Goncalves de Faria, 2022. "An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation," Papers 2206.09772, arXiv.org.
  64. Chiarella, Carl & He, Xue-Zhong & Pellizzari, Paolo, 2012. "A Dynamic Analysis Of The Microstructure Of Moving Average Rules In A Double Auction Market," Macroeconomic Dynamics, Cambridge University Press, vol. 16(4), pages 556-575, September.
  65. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
  66. Alexandru Mandes, 2014. "Order Placement in a Continuous Double Auction Agent Based Model," MAGKS Papers on Economics 201443, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  67. Xiong Xiong & Ding Nan & Yang Yang & Zhang Yongjie, 2015. "Study on Market Stability and Price Limit of Chinese Stock Index Futures Market: An Agent-Based Modeling Perspective," PLOS ONE, Public Library of Science, vol. 10(11), pages 1-12, November.
  68. Alessio Emanuele Biondo, 2020. "Information versus imitation in a real-time agent-based model of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 613-631, July.
  69. Alessio Emanuele Biondo, 2018. "Order book microstructure and policies for financial stability," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 35(1), pages 196-218, March.
  70. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017.
  71. Hazem Krichene & Mhamed-Ali El-Aroui, 2018. "Agent-Based Simulation and Microstructure Modeling of Immature Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 493-511, March.
  72. Roberto Mota Navarro & Hern'an Larralde Ridaura, 2016. "A detailed heterogeneous agent model for a single asset financial market with trading via an order book," Papers 1601.00229, arXiv.org, revised Jul 2016.
  73. Gurgone, Andrea & Iori, Giulia & Jafarey, Saqib, 2018. "The effects of interbank networks on efficiency and stability in a macroeconomic agent-based model," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 257-288.
  74. Chiarella, Carl & Ladley, Daniel, 2016. "Chasing trends at the micro-level: The effect of technical trading on order book dynamics," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 119-131.
  75. Shu-Peng Chen & Ling-Yun He, 2013. "Bubble Formation and Heterogeneity of Traders: A Multi-Agent Perspective," Computational Economics, Springer;Society for Computational Economics, vol. 42(3), pages 267-289, October.
  76. Isao Yagi & Yuji Masuda & Takanobu Mizuta, 2020. "Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity," Papers 2010.13038, arXiv.org.
  77. Hazem Krichene & Mhamed-Ali El-Aroui, 2018. "Artificial stock markets with different maturity levels: simulation of information asymmetry and herd behavior using agent-based and network models," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(3), pages 511-535, October.
  78. Yoshimura, Yushi & Okuda, Hiroshi & Chen, Yu, 2020. "A mathematical formulation of order cancellation for the agent-based modelling of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
  79. Wei, Lijian & Zhang, Wei & Xiong, Xiong & Shi, Lei, 2015. "Position limit for the CSI 300 stock index futures market," Economic Systems, Elsevier, vol. 39(3), pages 369-389.
  80. Vivien Lespagnol & Juliette Rouchier, 2018. "Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals," Post-Print hal-02084910, HAL.
  81. Francesco Lamperti, 2016. "Empirical Validation of Simulated Models through the GSL-div: an Illustrative Application," LEM Papers Series 2016/18, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  82. Jiahua Wang & Hongliang Zhu & Dongxin Li, 2018. "Price Dynamics in an Order-Driven Market with Bayesian Learning," Complexity, Hindawi, vol. 2018, pages 1-15, November.
  83. Songtao Wu & Jianmin He & Shouwei Li & Chao Wang, 2018. "Network formation in a multi-asset artificial stock market," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 91(4), pages 1-10, April.
  84. Vivien Lespagnol & Juliette Rouchier, 2015. "What Is the Impact of Heterogeneous Knowledge About Fundamentals on Market Liquidity and Efficiency: An ABM Approach," Lecture Notes in Economics and Mathematical Systems, in: Frédéric Amblard & Francisco J. Miguel & Adrien Blanchet & Benoit Gaudou (ed.), Advances in Artificial Economics, edition 127, pages 105-117, Springer.
  85. Delli Gatti,Domenico & Fagiolo,Giorgio & Gallegati,Mauro & Richiardi,Matteo & Russo,Alberto (ed.), 2018. "Agent-Based Models in Economics," Cambridge Books, Cambridge University Press, number 9781108400046.
  86. Daniel Fricke & Thomas Lux, 2015. "The effects of a financial transaction tax in an artificial financial market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 119-150, April.
  87. repec:uts:finphd:34 is not listed on IDEAS
  88. Dong-Jin Pyo, 2017. "A multi-factor model of heterogeneous traders in a dynamic stock market," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1416902-141, January.
  89. Alessio Emanuele Biondo, 2019. "Order book modeling and financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 469-489, September.
  90. Johann Lussange & Stefano Vrizzi & Sacha Bourgeois-Gironde & Stefano Palminteri & Boris Gutkin, 2023. "Stock Price Formation: Precepts from a Multi-Agent Reinforcement Learning Model," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1523-1544, April.
  91. Kovaleva, Polina & Iori, Giulia, 2015. "The impact of reduced pre-trade transparency regimes on market quality," Journal of Economic Dynamics and Control, Elsevier, vol. 57(C), pages 145-162.
  92. Vivien Lespagnol & Juliette Rouchier, 2018. "Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 991-1020, April.
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  94. Pyo, Dong-Jin, 2014. "A Multi-Factor Model of Heterogeneous Traders in a Dynamic Stock Market," Staff General Research Papers Archive 37358, Iowa State University, Department of Economics.
  95. Lijian Wei & Wei Zhang & Xiong Xiong & Lei Shi, 2014. "Position-Limit Design for the CSI 300 Futures Markets," Research Paper Series 349, Quantitative Finance Research Centre, University of Technology, Sydney.
  96. Ryuichi Yamamoto, 2022. "Predictor Choice, Investor Types, and the Price Impact of Trades on the Tokyo Stock Exchange," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 325-356, January.
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  98. Vivien Lespagnol & Juliette Rouchier, 2014. "Trading volume and market efficiency: an Agent Based Model with heterogenous knowledge about fundamentals," AMSE Working Papers 1419, Aix-Marseille School of Economics, France, revised May 2014.
  99. Recchioni, Maria Cristina & Tedeschi, Gabriele & Berardi, Simone, 2014. "Bank's strategies during the financial crisis," FinMaP-Working Papers 25, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
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  103. Kyubin Yim & Gabjin Oh & Seunghwan Kim, 2016. "Understanding Financial Market States Using an Artificial Double Auction Market," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-15, March.
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  118. Xiong Xiong & Yian Cui & Xiaocong Yan & Jun Liu & Shaoyi He, 2020. "Cost-benefit analysis of trading strategies in the stock index futures market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-17, December.
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  122. Grilli, Ruggero & Tedeschi, Gabriele & Gallegati, Mauro, 2020. "Business fluctuations in a behavioral switching model: Gridlock effects and credit crunch phenomena in financial networks," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
  123. Schasfoort, Joeri & Stockermans, Christopher, 2017. "Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market," Economics Discussion Papers 2017-63, Kiel Institute for the World Economy (IfW Kiel).
  124. Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei, 2017. "A behavioural model of investor sentiment in limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 71-86, January.
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  126. Lijian Wei & Lei Shi, 2020. "Investor Sentiment in an Artificial Limit Order Market," Complexity, Hindawi, vol. 2020, pages 1-10, June.
  127. Alexandru Mandes, 2020. "Impact of Electronic Liquidity Providers Within a High-Frequency Agent-Based Modeling Framework," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 407-450, February.
  128. Blake LeBaron & Ryuichi Yamamoto, 2008. "The Impact of Imitation on Long Memory in an Order-Driven Market," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 34(4), pages 504-517.
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