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On Simulation of Various Effects in Consolidated Order Book

Author

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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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    References listed on IDEAS

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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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