Price Dynamics in an Order-Driven Market with Bayesian Learning
In this paper, we have developed a model of limit order book with learning mechanism and investigated its price dynamics. In this model, continuous Bayesian learning is introduced to describe the dynamics of self-adjusting learning mechanism of agents, which can result in some important stylized fac...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi-Wiley
2018-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2018/8254068 |