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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.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.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.check.info | Check for published version | en |
| dc.status | Peer reviewed | en |
| dc.check.date | 2013-02-01 | |
| dc.neeo.contributor | Cui|Wei|aut| | en |
| dc.neeo.contributor | Brabazon|Anthony|aut| | en |
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