An Agent-based Modeling Approach to Study Price Impact

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dc.contributor.author Cui, Wei
dc.contributor.author Brabazon, Anthony
dc.date.accessioned 2012-08-17T15:58:39Z
dc.date.available 2012-08-17T15:58:39Z
dc.date.copyright 2012 IEEE en
dc.date.issued 2012-03-29
dc.identifier.isbn 978-1-4673-1802-0
dc.identifier.uri http://hdl.handle.net/10197/3751
dc.description 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, New York, USA, 29-30 March 2012 en
dc.description.abstract Price impact models are important for devising trade execution strategies. However, a proper characterization of price impacts is still lacking. This study models the price impact using an agent-based modeling approach. The purpose of this paper is to investigate whether agent intelligence is a necessary condition when seeking to construct realistic price impact with an artificial market simulation. We build a zero- intelligence based artificial limit order market model. Our model distinguishes limit orders according to their order aggressiveness and takes into account some observed facts including log-normal distributed order sizes and power-law distributed limit order placements. The model is calibrated using trades and orders data from the London Stock Exchange. The results indicate that agent intelligence is needed when simulating an artificial market where replicating price impact is a concern. en
dc.description.sponsorship Science Foundation Ireland en
dc.format.extent 195465 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher IEEE Press en
dc.relation.ispartof Computational Intelligence for Financial Engineering & Economics (CIFEr), 2012 IEEE Conference on [proceedings] en
dc.relation.requires Business Research Collection en
dc.rights Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. en
dc.subject Agent based modelling en
dc.subject Price impact en
dc.subject.lcsh Prices--Computer simulation en
dc.subject.lcsh Stock exchanges--Computer simulation en
dc.subject.lcsh Multiagent systems en
dc.title An Agent-based Modeling Approach to Study Price Impact en
dc.type Conference Publication en
dc.internal.availability Full text available en
dc.status Peer reviewed en
dc.identifier.doi 10.1109/CIFEr.2012.6327798
dc.neeo.contributor Cui|Wei|aut|
dc.neeo.contributor Brabazon|Anthony|aut|


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