2025/08/28 by Mateusz Wiliński, Mateusz Wilinski, Wilinski, Mateusz +2 · 1 voice
Decision Sciences · Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #Game Theory and Applications #Opinion Dynamics and Social Influence #q-fin.CP
paper · pdf · doi:10.48550/arxiv.2508.20672
openalex publication_date 2025/08/28 · arxiv published 2025/08/28 · arxiv updated 2025/08/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
There are multiple explanations for stylized facts in high-frequency trading, including adaptive and informed agents, many of which have been studied through agent-based models. This paper investigates an alternative explanation by examining whether, and under what circumstances, interactions between traders placing limit order book messages can reproduce stylized facts, and what forms of interaction are required. While the agent-based modeling literature has introduced interconnected agents on networks, little attention has been paid to whether specific trading network topologies can generate stylized facts in limit order book markets. In our model, agents are strictly zero-intelligence, with no fundamental knowledge or chartist-like strategies, so that the role of network topology can be isolated. We find that scale-free connectivity between agents reproduces stylized facts observed in markets, whereas no-interaction does not. Our experiments show that regular lattices and Erdos-Renyi networks are not significantly different from the no-interaction baseline. Thus, we provide a completely new, potentially complementary, explanation for the emergence of stylized facts.