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The impact of aggressive orders in an order-driven market: a simulation approach

โœ Scribed by Wuyts, Gunther


Book ID
126937554
Publisher
Taylor and Francis Group
Year
2012
Tongue
English
Weight
384 KB
Volume
18
Category
Article
ISSN
1351-847X

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This paper studies an order-driven stock market where agents have heterogeneous estimates of the fundamental value of the risky asset. The agents are budget-constrained and follow a value-based trading strategy which buys or sells depending on whether the price of the asset is below or above its ris