A simulation analysis of the microstructure of double auction markets

By Carl Chiarella, Giulia Iori. 2002

296 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/466fff7b1a71950a3574fe0ec06daa5a4de488ed

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Statistical theory of the continuous double auction (2002, background): “Stinchcombe, “Analyzing and Modeling 1+1d markets”, Physica A 300, 285, (2001), preprint cond-mat/0106114 [22] C.”
Econophysics review: II. Agent-based models (2011, unknown): “Chiarella and Iori (2002) build an agent-based model where all traders submit orders depending on the three elements identified by Lux and Marchesi (2000): chartists, fundamentalists, noise traders.”
Agent-based Computational Finance (2006, background): “Examples of this are Chiarella & Iori (2002) and Farmer, Patelli & Zovko”
An empirical behavioral model of liquidity and volatility (2007, methodology): “…1982, Cohen et al. 1985, Domowitz and Wang 1994, Bollerslev, Domowitz and Wang 1997, Bak et al. 1997, Eliezer and Kogan 1998, Tang 1999, Maslov 2000, Slanina 2001, Challet and Stinchcombe 2001, Daniels et al. 2003, Chiarella and Iori, 2002, Bouchaud, Mezard and Potters 2002, Smith et al. 2003).”
Econophysics: Empirical facts and agent-based models (2009, unknown): “Chiarella and Iori (2002) build an agent-based model where all traders submit orders depending on the three elements identified in Lux and Marchesi (2000): chartists, fundamentalists, noise.”
NEW DIRECTIONS FOR URBAN ECONOMIC MODELS OF LAND USE CHANGE: INCORPORATING SPATIAL DYNAMICS AND HETEROGENEITY (2010, unknown): “By modeling individual traders and the entire trading process from the bottom up, these computational models offer the potential for exploring a wider range of price formation mechanisms and market dynamics, for example the so-called “order book” mechanism in which agents post offers to buy and sell”
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows (2007, background): “The aim of Chiarella and Iori (2002) was to introduce a simple auction market model in order to gain some insights into how the placement of limit orders contributes to the price formation mechanism.”