Asynchronous Simulations of a Limit Order Book - Gilles Daniel

More documents

Recommendations

Info

Main message Liquidity dynamics are not only responsible for the statistical properties <strong>of</strong> prices changes (stylised facts), but they also play a key role in determining the level at which market prices stabilise (endogenous conventions). 28
Consequence The need for liquidity has superseded the need for sending relevant signals (informational efficiency) to the Economy. 29
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 and 12: Zero-Intelligence Agents Order sign
Page 13 and 14: Aggregate Order Flow received Limit
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: Conclusion on SRMH setup When the f
Page 31: ACKNOWLEDGEMENTS David S. Brée Sor

Asynchronous Simulations of a Limit Order Book - Gilles Daniel

Create successful ePaper yourself

Delete template?

Save as template?