"Market making" behaviour in an order book model and its impact on the bid-ask spread¶
Bibliographic record. Follow the original-source link for the publication.
| Field | Value |
|---|---|
| Primary domain | Unclassified |
| Other domains | — |
| Methods | — |
| Facets | — |
| Authors | Ioane Muni Toke |
| Published | 2010-03-19 |
| Source | arXiv Quantitative Finance History |
| Identifiers | arxiv:1003.3796 |
| URL | Open original source |
Editorial synthesis¶
Why it matters¶
The study adds mutually exciting order arrivals to an order-book simulator to examine whether more realistic order timing improves simulated bid-ask spread behavior. (abstract:S3, abstract:S4, abstract:S5)
Main author claims¶
- The authors propose adding asymmetrically mutually exciting Hawkes arrival processes for limit and market orders to a basic zero-intelligence order-book simulator. (
abstract:S2,abstract:S3) - The authors report that the specification draws on order-interval observations from equity, bond-futures, and index-futures markets and produces more realistic simulated bid-ask spreads. (
abstract:S4,abstract:S5)
Data, method, or discussion scope¶
The abstract covers the Hawkes order-arrival specification, empirical motivation from several markets, and a qualitative claim about simulated-spread realism; the evidence concerns order-book simulation rather than trading performance. (abstract:S3, abstract:S4, abstract:S5)
Main limitations¶
The material states that spread simulation becomes more realistic but provides no fit metric, sample period, or out-of-sample forecast result, so the magnitude and robustness of the improvement cannot be assessed from the abstract. (abstract:S4, abstract:S5)
Relationships¶
- None recorded.