@inproceedings{dd83c4cb53f0445f96a7c7de85b6c95e,
title = "The effect of limit order book state on traders' pricing strategy: Simulation based on artificial stock market",
abstract = "In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to their expectation of asset's future price. Heterogeneous agents are assumed to have four components of the expectation of future asset returns, namely fundamentalist, chartist and noise trader, as well as order book state. Through a series of simulations we conclude limit order book contains information of present supply-demand relation, which make more accuracy in traders' pricing strategy.",
keywords = "Limit order book, Pricing strategy, Simulation",
author = "Wei Cheng and Qiu, \{Wan Hua\} and Jiao, \{He Ying\} and Liu, \{Shan Cun\}",
year = "2009",
language = "英语",
isbn = "9781846260612",
series = "Proceedings of the 2nd International Conference on Modelling and Simulation, ICMS2009",
pages = "228--232",
booktitle = "Proceedings of the 2nd International Conference on Modelling and Simulation, ICMS2009",
note = "2009 Joint International Conference on Modelling and Simulation ; Conference date: 21-05-2009 Through 22-05-2009",
}