Paper Info
Title
An agent-based modeling approach to study price impact
Abstract
Price impact models are important for devising trade execution strategies. However, a proper characterization of price impacts is still lacking. This study models the price impact using an agent-based modeling approach. The purpose of this paper is to investigate whether agent intelligence is a necessary condition when seeking to construct realistic price impact with an artificial market simulation. We build a zero-intelligence based artificial limit order market model. Our model distinguishes limit orders according to their order aggressiveness and takes into account some observed facts including log-normal distributed order sizes and power-law distributed limit order placements. The model is calibrated using trades and orders data from the London Stock Exchange. The results indicate that agent intelligence is needed when simulating an artificial market where replicating price impact is a concern.
Year
DOI
Venue
2012
10.1109/CIFEr.2012.6327798
CIFEr
Keywords
Field
DocType
normal distribution,agent-based modeling approach,securities trading,international trade,agent intelligence,log-normal distributed order sizes,necessary condition,power-law distributed limit order placements,multi-agent systems,price impact models,london stock exchange,order aggressiveness,zero-intelligence-based artificial limit order market model,trade execution strategies,artificial market simulation,order processing,pricing,data models,history,log normal distribution,multi agent systems
Order processing,Econometrics,Data modeling,Normal distribution,Economics,Stock exchange,Multi-agent system,Market model,Industrial organization,Artificial market,Order (exchange)
Conference
ISSN
ISBN
Citations 
PENDING E-ISBN : 978-1-4673-1801-3
978-1-4673-1801-3
5
PageRank 
References 
Authors
0.85
0
2
Name
Order
Citations
PageRank
Wei Cui151.19
Anthony Brabazon291898.60