Asynchronous Simulations of a Limit Order Book - Gilles Daniel

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Asynchronous Simulations of a Limit Order Book - Gilles Daniel

Asynchronous Simulations of a Limit Order Book - Gilles Daniel

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Simulation Runs<br />

12

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Simulation Runs 12

Aggregate <strong>Order</strong> Flow received <strong>Limit</strong> price <strong>Limit</strong> price >0 <strong>Order</strong> size Inter-orders waiting times 13

Page 1 and 2: Asynchronous Simulations of a Limit
Page 3 and 4: Conditions for efficient allocation
Page 5 and 6: What moves stock prices 5
Page 7 and 8: Stylised Facts (2) P(r) P(R>r) ACF(
Page 9 and 10: Limit Order Book 9
Page 11: Zero-Intelligence Agents Order sign
Page 15 and 16: Book shape Bids Offers 15
Page 17 and 18: Price Dynamics (2) P(r) P(|R|>r) AC
Page 19 and 20: What sets price levels 19
Page 21 and 22: With common knowledge fundamental v
Page 23 and 24: With common knowledge fundamental v
Page 25 and 26: Self-Referential Market Hypothesis
Page 27 and 28: Conclusion on SRMH setup When the f
Page 29 and 30: Consequence The need for liquidity
Page 31: ACKNOWLEDGEMENTS David S. Brée Sor