Do stylised facts of order book markets need strategic behaviour?

This paper studies the role of the order book market mechanism in shaping price movements and the order flow in a zero-intelligence agent model of a dynamic limit-order market. The results indicate that many stylised facts of limit-order markets are not dependent on individual strategic behaviour; t...

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Veröffentlicht in:	Journal of economic dynamics & control 2009-04, Vol.33 (4), p.817-831
Hauptverfasser:	Ladley, Dan, Schenk-Hoppé, Klaus Reiner
Format:	Artikel
Sprache:	eng
Schlagworte:	Correlation Dynamics Economic models Estimation Information Investment policy Limit orders Market analysis Market dynamics Non-strategic behaviour Order book markets Order book markets Stylised facts Market dynamics Limit orders Non-strategic behaviour Prices Securities markets Securities prices Strategic behaviour Studies Stylised facts
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