Price dynamics in an order-driven market with Bayesian learning
type: Item
instance of: scholarly article
title: Price dynamics in an order-driven market with Bayesian learning
zbMATH Open document ID: 1407.91119
DOI: 10.1155/2018/8254068
author: Jiahua Wang
author: Hongliang Zhu
author: Dongxin Li
published in: Complexity
publication date: 2019-02-19T00:00:00Z
review text: Summary: In this paper, we have developed a model of limit order book with learning mechanism and investigated its price dynamics. In this model, continuous Bayesian learning is introduced to describe the dynamics of self-adjusting learning mechanism of agents, which can result in some important stylized facts of limit order markets. This study also provides some behavioral explanations for these well-known stylized facts that are commonly observed in the financial markets.
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 7025050
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2018/8254068
OpenAlex ID: W2899974286
cites work: Varieties of agents in agent-based computational economics: a historical and an interdisciplinary perspective
cites work: VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
cites work: Do stylised facts of order book markets need strategic behaviour?
cites work: Order-splitting and long-memory in an order-driven market
cites work: Agent-based simulation of a financial market
cites work: Exact Hurst exponent and crossover behavior in a limit order market model
cites work: Statistical properties of stock order books: empirical results and models
cites work: Statistical theory of the continuous double auction
cites work: More statistical properties of order books and price impact
cites work: On the origin of power-law fluctuations in stock prices
cites work: Price fluctuations from the order book perspective - empirical facts and a simple model
cites work: Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
cites work: Empirical properties of asset returns: stylized facts and statistical issues
cites work: The impact of heterogeneous trading rules on the limit order book and order flows
cites work: An agent-based model of stock markets incorporating momentum investors
cites work: Power-law behaviour, heterogeneity, and trend chasing
cites work: Asset price and wealth dynamics in a financial market with heterogeneous agents
cites work: A simulation analysis of the microstructure of double auction markets*
cites work: HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
cites work: Q3396055
cites work: Elements for a theory of financial risks
Recommended article: Price dynamics in a Markovian limit order market
Recommended article: A behavioural learning approach to the dynamics of prices
Recommended article: Dynamic pricing with Bayesian demand learning and reference price effect
Recommended article: An empirical bayes adaptive price search∗
Recommended article: Reinforcement learning equilibrium in limit order markets
Recommended article: Learning, information processing and order submission in limit order markets
Recommended article: Dynamic pricing and inventory management with demand learning: a Bayesian approach
Recommended article: Rebuilding the limit order book: sequential Bayesian inference on hidden states
Recommended article: Optimal execution in high-frequency trading with Bayesian learning
description: scientific article; zbMATH DE number 7025050