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A multi agent model for the limit order book dynamics

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  • M. Bartolozzi

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  • M. Bartolozzi, 2010. "A multi agent model for the limit order book dynamics," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 78(2), pages 265-273, November.
    • Handle: RePEc:spr:eurphb:v:78:y:2010:i:2:p:265-273
    DOI: 10.1140/epjb/e2010-10406-4
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    References listed on IDEAS

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    1. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871.
    2. Armand Joulin & Augustin Lefevre & Daniel Grunberg & Jean-Philippe Bouchaud, 2008. "Stock price jumps: news and volume play a minor role," Papers 0803.1769, arXiv.org.
    3. Lorenzo Matassini & Fabio Franci, 2001. "How Traders enter the Market through the Book," Papers cond-mat/0103106, arXiv.org.
    4. Bailey,Roy E., 2005. "The Economics of Financial Markets," Cambridge Books, Cambridge University Press, number 9780521612807.
    5. Frantisek Slanina, 2008. "Critical comparison of several order-book models for stock-market fluctuations," Papers 0801.0631, arXiv.org.
    6. F. Slanina, 2008. "Critical comparison of several order-book models for stock-market fluctuations," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 61(2), pages 225-240, January.
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    Cited by:

    1. Peter Fratrič & Giovanni Sileno & Sander Klous & Tom Engers, 2022. "Manipulation of the Bitcoin market: an agent-based study," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-29, December.
    2. Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016. "Rock around the clock: An agent-based model of low- and high-frequency trading," Journal of Evolutionary Economics, Springer, vol. 26(1), pages 49-76, March.
    3. Leal, Sandrine Jacob & Napoletano, Mauro, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
    4. repec:hal:spmain:info:hdl:2441/6ummnc8nko827b2luohnctekk7 is not listed on IDEAS
    5. Sandrine Jacob Leal & Mauro Napoletano, 2017. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01768876, HAL.
    6. repec:hal:spmain:info:hdl:2441/f6h8764enu2lskk9p4oq9ig8k is not listed on IDEAS
    7. 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.
    8. Alex Langnau & Yanko Punchev, 2011. "Stochastic Price Dynamics Implied By the Limit Order Book," Papers 1105.4789, arXiv.org.
    9. repec:spo:wpmain:info:hdl:2441/3utlh0ehcn860pus6p2p683ade is not listed on IDEAS
    10. repec:spo:wpmain:info:hdl:2441/6ummnc8nko827b2luohnctekk7 is not listed on IDEAS
    11. Iris Lucas & Michel Cotsaftis & Cyrille Bertelle, 2017. "Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems," Post-Print hal-02114933, HAL.
    12. repec:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p4oq9ig8k is not listed on IDEAS
    13. 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.
    14. 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.
    15. Wladimir Ostrovsky, 2023. "Dealer Strategies in Agent-Based Models," Papers 2312.05943, arXiv.org.
    16. repec:hal:spmain:info:hdl:2441/3utlh0ehcn860pus6p2p683ade is not listed on IDEAS

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