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Bimodal Dynamics of the Artificial Limit Order Book Stock Exchange with Autonomous Traders

https://doi.org/10.2139/ssrn.6145329
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Fundamentals of Queueing Theory
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An Integrated Model of Market and Limit Orders
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An artificial stock market
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Microconsistency in Simple Empirical Agent-Based Financial Models
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Chaos and Hopf bifurcation of a finance system
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Dynamic analysis and control of a new hyperchaotic finance system
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Chaos, border collisions and stylized empirical facts in an asset pricing model with heterogeneous agents
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A microscopic model of the stock market
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Market microstructure
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Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
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Asset pricing and the bid-ask spread
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Stealth trading and volatility
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Limit Order Markets: A Survey
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Behavioral heterogeneity in stock prices
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Booms, busts and behavioural heterogeneity in stock prices
inferredcites →https://doi.org/10.1016/j.jfineco.2008.08.002openalex-snapshot
Informed traders and limit order markets
inferredcites →https://doi.org/10.1016/j.jfineco.2015.01.003openalex-snapshot
High frequency market microstructure
inferredcites →https://doi.org/10.1016/s0304-405x(01)00063-0openalex-snapshot
Stealth-trading: Which traders' trades move stock prices?
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Price variations in a stock market with many agents
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Market microstructure: A survey
inferredcites →https://doi.org/10.1016/s1386-4181(98)00012-3openalex-snapshot
Order flow composition and trading costs in a dynamic limit order market
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Chapter 16 Agent-Based Computational Economics: A Constructive Approach to Economic Theory
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Chapter 23 Heterogeneous Agent Models in Economics and Finance
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Chapter 24 Agent-based Computational Finance
inferredcites →https://doi.org/10.1017/cbo9781316683040openalex-snapshot
Limit Order Books
inferredcites →https://doi.org/10.1073/pnas.0409157102openalex-snapshot
The predictive power of zero intelligence in financial markets
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Simulating and Analyzing Order Book Data: The Queue-Reactive Model
inferredcites →https://doi.org/10.1080/14697680500244411openalex-snapshot
Order book approach to price impact
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Leverage causes fat tails and clustered volatility
inferredcites →https://doi.org/10.1080/14697688.2013.803148openalex-snapshot
Limit order books
inferredcites →https://doi.org/10.1080/14697688.2017.1403142openalex-snapshot
High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
inferredcites →https://doi.org/10.1080/14697688.2018.1546053openalex-snapshot
Deep learning for limit order books
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Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality
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Spectra of Some Self-Exciting and Mutually Exciting Point Processes
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Minority Games
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A Theory of Intraday Patterns: Volume and Price Variability
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Liquidity Provision with Limit Orders and a Strategic Specialist
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Price Dynamics in Limit Order Markets
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Auctions of Divisible Goods: On the Rationale for the Treasury Experiment
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Limit Order Book as a Market for Liquidity
inferredcites →https://doi.org/10.1093/rfs/hhp011openalex-snapshot
A Dynamic Model of the Limit Order Book
inferredcites →https://doi.org/10.1109/tsp.2019.2907260openalex-snapshot
DeepLOB: Deep Convolutional Neural Networks for Limit Order Books
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Chaos and Nonlinear Dynamics: Application to Financial Markets
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Is the Electronic Open Limit Order Book Inevitable?
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05228.xopenalex-snapshot
Limit Order Trading
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00795.xopenalex-snapshot
Equilibrium in a Dynamic Limit Order Market
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01312.xopenalex-snapshot
Competition for Order Flow and Smart Order Routing Systems
inferredcites →https://doi.org/10.1126/science.aad0299openalex-snapshot
Complexity theory and financial regulation
inferredcites →https://doi.org/10.1137/110856605openalex-snapshot
Price Dynamics in a Markovian Limit Order Market
inferredcites →https://doi.org/10.1145/1143844.1143929openalex-snapshot
Reinforcement learning for optimized trade execution
inferredcites →https://doi.org/10.1145/3533271.3561753openalex-snapshot
Learning to simulate realistic limit order book markets from data as a World Agent
inferredcites →https://doi.org/10.1145/3533271.3561777openalex-snapshot
Dynamic Calibration of Order Flow Models with Generative Adversarial Networks
inferredcites →https://doi.org/10.1201/b21350openalex-snapshot
The Financial Mathematics of Market Liquidity
inferredcites →https://doi.org/10.1257/jel.20221319openalex-snapshot
Agent-Based Modeling in Economics and Finance: Past, Present, and Future
inferredcites →https://doi.org/10.1287/opre.1090.0780openalex-snapshot
A Stochastic Model for Order Book Dynamics
inferredcites →https://doi.org/10.2307/1882244openalex-snapshot
The Cost of Transacting
inferredcites →https://doi.org/10.2307/1884475openalex-snapshot
Auctions of Shares
inferredcites →https://doi.org/10.2307/1911865openalex-snapshot
A Theory of Auctions and Competitive Bidding
inferredcites →https://doi.org/10.2307/1913210openalex-snapshot
Continuous Auctions and Insider Trading
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Time Series Analysis
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