%0 Book Section %1 statphys23_0879 %A Preis, T. %A Golke, S. %A Paul, W. %A Schneider, J.J. %B Abstract Book of the XXIII IUPAP International Conference on Statistical Physics %C Genova, Italy %D 2007 %E Pietronero, Luciano %E Loreto, Vittorio %E Zapperi, Stefano %K financial markets methods montecarlo statphys23 topic-11 %T Multi-agent--based Order Book Model of financial markets %U http://st23.statphys23.org/webservices/abstract/preview_pop.php?ID_PAPER=879 %X We present a simple model for simulating financial markets, based on an order book, in which several agents trade one asset at a virtual exchange continuously. For a stationary market the structure of the model, the order flow rates of the different kinds of order types and the used price time priority matching algorithm produce only a diffusive price behavior. We show that a market trend, i.e. an asymmetric order flow of any type, leads to a non-trivial Hurst exponent for the price development, but not to “fat-tailed” return distributions. When one additionally couples the order entry depth to the prevailing trend, also the stylized empirical fact of “fat tails” can be reproduced by our Order Book Model.

@incollection{statphys23_0879, abstract = {We present a simple model for simulating financial markets, based on an order book, in which several agents trade one asset at a virtual exchange continuously. For a stationary market the structure of the model, the order flow rates of the different kinds of order types and the used price time priority matching algorithm produce only a diffusive price behavior. We show that a market trend, i.e. an asymmetric order flow of any type, leads to a non-trivial Hurst exponent for the price development, but not to “fat-tailed” return distributions. When one additionally couples the order entry depth to the prevailing trend, also the stylized empirical fact of “fat tails” can be reproduced by our Order Book Model.}, added-at = {2007-06-20T10:16:09.000+0200}, address = {Genova, Italy}, author = {Preis, T. and Golke, S. and Paul, W. and Schneider, J.J.}, biburl = {https://www.bibsonomy.org/bibtex/212832a633005d00ed98a8f22150e4cad/statphys23}, booktitle = {Abstract Book of the XXIII IUPAP International Conference on Statistical Physics}, editor = {Pietronero, Luciano and Loreto, Vittorio and Zapperi, Stefano}, interhash = {46a03c3684fb93ae4315ce2410fd05f6}, intrahash = {12832a633005d00ed98a8f22150e4cad}, keywords = {financial markets methods montecarlo statphys23 topic-11}, month = {9-13 July}, timestamp = {2007-06-20T10:16:31.000+0200}, title = {Multi-agent--based Order Book Model of financial markets}, url = {http://st23.statphys23.org/webservices/abstract/preview_pop.php?ID_PAPER=879}, year = 2007 }