The impact of heterogeneous trading rules on the limit order book and order flows

Journal of Economic Dynamics and Control

Volumn 33, Issue 3, 2009, Pages 525-537

  Chiarella, Carl ^a   Iori, Giulia ^b   Perelló, Josep ^c  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^b CITY UNIVERSITY   (United Kingdom)

^c UNIVERSITY OF BARCELONA   (Spain)

Author keywords

Chartism; Fundamentalism; Large fluctuations; Limit orders; Market microstructure

Indexed keywords

EID: 59549085737     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2008.08.001     Document Type: Article

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