A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2017; you can also visit the original URL.
The file type is
Price impact models are important for devising trade execution strategies. However, a proper characterization of price impacts is still lacking. This study models the price impact using an agent-based modeling approach. The purpose of this paper is to investigate whether agent intelligence is a necessary condition when seeking to construct realistic price impact with an artificial market simulation. We build a zerointelligence based artificial limit order market model. Our model distinguishesdoi:10.1109/cifer.2012.6327798 dblp:conf/cifer/CuiB12 fatcat:7kk75lg33jbjzktichqjiw5ef4