In this paper we develop a model of an order-driven market where traders set bids and asks
and post market or limit orders according to exogenously fixed rules. Agents are assumed to …

We analyse whether the idiosyncratic risk puzzle reported by Ang et al. can be explained by
the existence of market participants with different investment horizons. We adopt a wavelet …

This paper presents an agent-based model of the financial order book, and investigates
whether the volatility of market prices can be reduced by means of specific policy …

The aim of this study was to find the optimal position limit for the Chinese stock index (CSI)
300 futures market. A low position limit helps to prevent price manipulations in the spot …

Purpose The purpose of this paper is two-fold: first, to introduce an innovative model of
financial order book, less simplified than the existing literature and still able to replicate all …

By introducing a genetic algorithm with a classifier system as a learning mechanism for
uninformed traders into a dynamic limit order market with asymmetric information, this paper …

This paper constructs an artificial stock market, especially the description of Chinese stocks
to form a benchmark model of this paper. Then, we examine the relationships between price …

This paper proposes a multi‐agent system for policy design on tick size in the China
Securities Index (CSI) 300 index futures market. According to the investors' structure, trading …

This paper presents a simulative model of a financial market, based on a fully operating
order book with limit and market orders. The heterogeneity of traders is characterized not …

This paper studies the switching of trading strategies and its effect on the market volatility in
a continuous double auction market. We describe the behavior when some uninformed …