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Ethical Concerns and Opportunities in Binding Intelligent Systems and Blockchain Technology Read chapter Read first chapter

2020 | OriginalPaper | Chapter

What an Experimental Limit Order Book Can Tell Us About Real Markets?

Author : Annalisa Fabretti

Published in: Highlights in Practical Applications of Agents, Multi-Agent Systems, and Trust-worthiness. The PAAMS Collection

Publisher: Springer International Publishing

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Abstract

Limit order book are widespread in markets. A vast literature study their properties and stylized facts with the aim of getting insights about the trading process and the order placement. In this paper an experimental order book is studied with the same aim. Since laboratory experiments offer a controlled environment in which causes and effect can be much better identified with respect to the field, the study of experimental data can give valuable insights even when results mismatch with theory or empirical findings. The analysis shows some similarities but also differences and understanding why is also a valuable goal faced and discussed here and not yet totally accomplished.

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Footnotes
1
I must stress that the experiment has been designed and performed by D. Fang, M. Holmen, D. Kleinlercher, M. Kirchler and results are published in Fang et al. (2017). I have got data by courtesy of authors.
 
2
According with the experiment has been designed.
 
3
3 types of market orders (large, market and small), 3 types of limit orders (with price within the spread, at the best bid or ask, at a price outside the spread).
 
4
Details of adaptation are here omitted but given on request.
 
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Metadata
Title
What an Experimental Limit Order Book Can Tell Us About Real Markets?
Author
Annalisa Fabretti
Copyright Year
2020
Book
Highlights in Practical Applications of Agents, Multi-Agent Systems, and Trust-worthiness. The PAAMS Collection

Print ISBN: 978-3-030-51998-8

Electronic ISBN: 978-3-030-51999-5

Copyright Year: 2020

DOI
https://doi.org/10.1007/978-3-030-51999-5_2

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