英文标题：
《Stochastic simulation framework for the Limit Order Book using liquidity
motivated agents》
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作者：
Efstathios Panayi, Gareth Peters
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最新提交年份：
2015
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英文摘要：
In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstractions of real market participants, expressed in a stochastic model framework. We develop an efficient way to perform statistical calibration of the model parameters on Level 2 limit order book data from Chi-X, based on a combination of indirect inference and multi-objective optimisation. We then demonstrate how such an agent-based modelling framework can be of use in testing exchange regulations, as well as informing brokerage decisions and other trading based scenarios.
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中文摘要：
在本文中，我们开发了一种新形式的基于代理的限价指令簿模型，该模型基于异构交易代理，其动机是流动性驱动的。这些代理是真实市场参与者的抽象，用随机模型框架表示。我们开发了一种有效的方法，基于间接推理和多目标优化的组合，对来自Chi-X的2级限额订单数据的模型参数进行统计校准。然后，我们将演示这种基于代理的建模框架如何用于测试交易所监管，以及通知经纪决策和其他基于交易的场景。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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