Abstract
This paper studies the role of the order book market mechanism in shaping price movements and the order flow in a zero-intelligence agent model of a dynamic limit-order market. The results indicate that many stylised facts of limit-order markets are not dependent on individual strategic behaviour; they can be obtained from the interaction of the market mechanism and non-strategic agents. Positive correlation in order types, the shape of the order book and short term price predictability, for instance, do not require strategic considerations by individual traders. In contrast the absolute probabilities of order submission highlight the contribution of strategic behaviour to market dynamics.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
