An Order-Driven Agent-Based Artificial Stock Market to Analyze Liquidity Costs of Market Orders in the Taiwan Stock Market

Yi-Ping Huang, Shu-Heng Chen, Min-Chin Hung, Tina Yu. An Order-Driven Agent-Based Artificial Stock Market to Analyze Liquidity Costs of Market Orders in the Taiwan Stock Market. In Anthony Brabazon, Michael O'Neill, Dietmar Maringer, editors, Natural Computing in Computational Finance - Volume 4. Volume 380 of Studies in Computational Intelligence, pages 163-179, Springer, 2012. [doi]

Abstract

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