Agent-based model for an order-driven market: herding effect, limit order strategies, and volatility enhanced trading activities
博士 === 國立中央大學 === 物理學系 === 106 === We build an agent-based model of an order-driven market with double auction. At first, we start with the comparison of non-interaction agents with no strategies and the herding agents who submit market orders. The simulation results reproduce some stylized facts suc...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/xy6c9m |