Home
Charts
Feeds
Download
Resources
Help
Subscriptions
RSS RSS

Wiki Navigation

Wiki Home Page

Page Index
Categories
Navigation Paths


Search the wiki
»

Do Stylised Facts of Order Book Markets Need Strategic Behaviour?

RSS
Modified on 2011/08/13 23:20 by Administrator Categorized as Articles

Dan Ladley, K. R. Schenk-Hoppé

This paper studies the role of strategy and the order book market mechanism in price dynamics and the order flow behaviour. To this end we analyse a zero-intelligence agent model of a dynamic limit order market. Stylised facts of limit order markets are shown to be influenced and, in some cases, governed by the market mechanism rather than strategic interaction. Positive correlation in order types, for instance, is the result of the market architecture, and price movements may be predicted in the short term from analysing the state of the order book. In contrast the absolute probabilities of order submission highlight the contribution of strategic behaviour.

Published by ssrn.org on 6/12/2007

Do Stylised Facts of Order Book Markets Need Strategic Behaviour?