2013/03/27 by Martin Šmíd, Šmíd, Martin
Business, Management and Accounting · Decision Sciences · Economics, Econometrics and Finance · #Applications (stat.AP) #Auction Theory and Applications #Consumer Market Behavior and Pricing #FOS: Computer and information sciences #Financial Markets and Investment Strategies
paper · pdf · doi:10.48550/arxiv.1303.6765
openalex publication_date 2013/03/27 · openalex created_date 2022/10/01 · openalex updated_date 2026/07/28
In the paper, a statistical procedure for estimating the parameters of zero\nintelligence models by means of tick-by-tick quote (L1) data is proposed. A\nlarge class of existing zero intelligence models is reviewed. It is shown that\nall those models fail to describe the actual behavior of limit order books\nclose to the ask price. A generalized model, accommodating the discrepancies\nfound, is proposed and shown to give significant results for L1 data from three\nUS electronic markets. It is also demonstrated that the generalized model\npreforms significantly better than the reviewed models.\n