Dresden 2006 – scientific programme

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 10: Poster Session (posters are expected to be displayed the full day 8:30-18:00)

AKSOE 10.4: Poster

Wednesday, March 29, 2006, 16:00–18:00, P2

Introduction and Investigation of a Multi-Agent Based Order Book Model of Financial Markets — •Tobias Preis, Sebastian Golke, Wolfgang Paul, Boris Brodda, and Johannes J. Schneider — Institute of Physics, Johannes Gutenberg University of Mainz, Staudinger Weg 7, 55099 Mainz, Germany

We introduce a new model for simulating financial markets, based on an order book, in which several agents trade assets at a virtual exchange. The agents can place and cancel orders at different rates according to their individual strategies.

The foundation of our model is an order book structure that is close to reality. We provide two types of traders, liquidity providers and liquidity takers with different strategies.