Modeling and simulation of a double auct
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Marco Raberto; Silvano Cincotti
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Article
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2005
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Elsevier Science
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English
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We present a double-auction artificial financial market populated by heterogeneous agents who trade one risky asset in exchange for cash. Agents issue random orders subject to budget constraints. The limit prices of orders may depend on past market volatility. Limit orders are stored in the book whe