Asynchronous Simulations of a Limit Order Book - Gilles Daniel
Asynchronous Simulations of a Limit Order Book - Gilles Daniel
Asynchronous Simulations of a Limit Order Book - Gilles Daniel
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Research Questions<br />
What moves stock prices<br />
• Origins <strong>of</strong> the stylised facts observed at intra-day, daily, etc. level<br />
• H0: traders' strategies Or rather the market microstructure<br />
• We go down to the basic, atomic interactions: trades<br />
• We find that high-frequency stylised facts can be recovered with a<br />
disequilibrium model <strong>of</strong> Zero-Intelligence agents, and explained by<br />
uninformed demand shifts<br />
What sets price levels<br />
• H0: Information only Or rather endogenous factors<br />
• Do prices converge to, and reflect, a fund. value (EMH)<br />
• Yes if this fundamental value is common knowledge<br />
• Otherwise, conventions can emerge and get destabilised<br />
endogenously (SRMH)<br />
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