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Volumn 355, Issue 1, 2005, Pages 34-45

Modeling and simulation of a double auction artificial financial market

Author keywords

Agent based simulation; Artificial financial market; Double auction; Limit order book

Indexed keywords

COST EFFECTIVENESS; DECISION MAKING; FEEDBACK; FINANCE; MARKETING; RISK MANAGEMENT; STATISTICAL METHODS;

EID: 21444443006     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.02.061     Document Type: Conference Paper
Times cited : (34)

References (15)
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    • S. Cincotti, S.M. Focardi, M. Marchesi, and M. Raberto Who wins? study of long-run trader survival in an artificial stock market Physica A 324 1-2 2003 227 233
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  • 5
    • 0000298398 scopus 로고
    • Market behavior in a clearing house
    • H. Mendelson Market behavior in a clearing house Econometrica 50 6 1982 1505 1524
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    • Mendelson, H.1
  • 7
    • 0030215291 scopus 로고    scopus 로고
    • Price formation in double auction markets
    • T.N. Cason, and D. Friedman Price formation in double auction markets J. Econ. Dyn. Control. 20 8 1996 1307 1337
    • (1996) J. Econ. Dyn. Control. , vol.20 , Issue.8 , pp. 1307-1337
    • Cason, T.N.1    Friedman, D.2
  • 10
    • 8344223565 scopus 로고
    • Scaling behavior in the dynamics of an economic index
    • R.N. Mantegna, and H.E. Stanley Scaling behavior in the dynamics of an economic index Nature 376 6535 1995 46 49
    • (1995) Nature , vol.376 , Issue.6535 , pp. 46-49
    • Mantegna, R.N.1    Stanley, H.E.2
  • 12
    • 0346961604 scopus 로고    scopus 로고
    • Fundamentalists clashing over the book: A study of order-driven stock markets
    • M. LiCalzi, and P. Pellizzari Fundamentalists clashing over the book: a study of order-driven stock markets Quantitative Finance 3 6 2003 470 480
    • (2003) Quantitative Finance , vol.3 , Issue.6 , pp. 470-480
    • Licalzi, M.1    Pellizzari, P.2
  • 15
    • 0036949980 scopus 로고    scopus 로고
    • Waiting-times and returns in high-frequency financial data: An empirical study
    • M. Raberto, E. Scalas, and F. Mainardi Waiting-times and returns in high-frequency financial data: an empirical study Physica A 314 1-4 2002 749 755
    • (2002) Physica A , vol.314 , Issue.1-4 , pp. 749-755
    • Raberto, M.1    Scalas, E.2    Mainardi, F.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.