Kirill Vaninsky, Stepan Myzuchka, Alexander Lukov
We introduce and treat rigorously a new multi-agent model of the limit order book. Our model is designed to explain a behavior of the market when new information a?ecting the market arrives. Our model has two major features. First, it constitutes a nonlinear Markov process. Second, it has two additional parameters which we call slow parameters. These parameters measure mood of two groups of investors, namely, bulls and bears. We explain the intuition behind the equations and present numerical simulations which show that behavior of the model is similar to the behavior of the real market.
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http://arxiv.org/abs/1208.3083
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