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摘要翻译：
在本文中，我们引入了一个新的多Agent模型，目的是通过对限制订单书中的匹配机制的忠实模拟，在微观时间尺度上再现双重拍卖市场的动态。代理遵循一个噪声决策过程，其中他们的行动与随机变量“市场情绪”有关，我们将其定义为公共和私人信息的混合。尽管该模型对代理人的交易策略只做了很少的基本假设，但它能够再现市场微观结构高频动态的几个经验特征，不仅与价格波动有关，而且与书中订单的沉积有关。
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英文标题：
《A Multi Agent Model for the Limit Order Book Dynamics》
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作者：
Marco Bartolozzi
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最新提交年份：
2010
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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
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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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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英文摘要：
In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The agents follow a noise decision making process where their actions are related to a stochastic variable, "the market sentiment", which we define as a mixture of public and private information. The model, despite making just few basic assumptions over the trading strategies of the agents, is able to reproduce several empirical features of the high-frequency dynamics of the market microstructure not only related to the price movements but also to the deposition of the orders in the book.
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PDF链接：
https://arxiv.org/pdf/1005.0182
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