Multiagentbased Order Book Model of financial markets
Tobias Preis, Sebastian Golke, Wolfgang Paul, and Johannes J. Schneider Europhysics Letters 75, 510516 (2006) — We introduce a simple model for simulating financial markets, based on an order book, in which several agents trade one asset at a virtual exchange continuously. We show that a market trend, i.e. an asymmetric order flow of any type, leads to a nontrivial Hurst exponent for the price development, but not to "fattailed" return distributions. When one additionally couples the order entry depth to the prevailing trend, also the stylized empirical fact of "fat tails" can be reproduced by our Order Book Model.



Selected Publications in Econophysics and Interdisciplinary Physics in 2003
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