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- W190542650 abstract "I review in this paper1 my findings on order driven market modeling. Following my previous works on robust agents based modeling in finance [1, 2, 3,5], I study specific characteristics of order book markets. By controlling the descriptive time scale of the dynamics involved, I show how market impact, linear by definition, and trading strategies lead to precise pictures for clarifying order book dynamics, consistent with what is observed empirically. I then discuss more specifically the role of market impact in the created dynamics and structure of the book and the economic implications of my studies." @default.
- W190542650 created "2016-06-24" @default.
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- W190542650 date "2011-01-01" @default.
- W190542650 modified "2023-09-26" @default.
- W190542650 title "Market Influence and Order Book Strategies" @default.
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- W190542650 doi "https://doi.org/10.1007/978-88-470-1766-5_9" @default.
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