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On Simulation of Various Effects in Consolidated Order Book

In: Trade and Global Market

Author

Listed:
  • Kirill Vaninsky
  • Alexander Lykov
  • Alexander Glekin

Abstract

This chapter is devoted to numerical computer simulation of the market mechanism, the consolidated order book (COB). The chapter consists of two parts. The first part is devoted to empirical analysis of consolidated order book (COB) for the index Russian trading system (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 phenomena. 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 such mechanism is due to a disbalance of liquidity in the COB, and another one is arising from the disbalance of sell and buy orders in the order flow.

Suggested Citation

  • Kirill Vaninsky & Alexander Lykov & Alexander Glekin, 2018. "On Simulation of Various Effects in Consolidated Order Book," Chapters, in: Vito Bobek (ed.), Trade and Global Market, IntechOpen.
    • Handle: RePEc:ito:pchaps:161173
    DOI: 10.5772/intechopen.78670
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    File URL: https://www.intechopen.com/chapters/62740
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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.

    More about this item

    Keywords

    market mechanism; multi-agent model; price change;
    All these keywords.

    JEL classification:

    • P33 - Political Economy and Comparative Economic Systems - - Socialist Institutions and Their Transitions - - - International Trade, Finance, Investment, Relations, and Aid

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