英文标题：
《On Simulation of Various Effects in Consolidated Order Book》
---
作者：
A.O. Glekin, A. Lykov and K.L. Vaninsky
---
最新提交年份：
2014
---
英文摘要：
This paper consists of two parts. The first part is devoted to empirical analysis of consolidated order book (COB) for the index RTS futures. In the second part we consider Poissonian multi--agent model of the COB. By varying parameters of different groups of agents submitting orders to the book we are able to model various real life phenomenons. In particular we model the spread, the profile of the book and large price changes. Two different mechanisms of large price changes are considered in detail. One is the disbalance of liquidity in the COB and another is the disbalance of sell and buy orders in the order flow.
---
中文摘要：
本文由两部分组成。第一部分是对RTS指数期货的综合订单（COB）的实证分析。在第二部分中，我们考虑了COB的泊松多智能体模型。通过改变向书提交订单的不同代理组的参数，我们能够模拟各种现实生活现象。特别是，我们对价差、书的概况和大的价格变化进行了建模。详细考虑了两种不同的价格大幅变化机制。一个是COB中流动性的不平衡，另一个是订单流中买卖订单的不平衡。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
--

---
PDF下载：
-->