摘要翻译：
在本文中，我们建立了一个订单驱动的市场模型，其中交易者根据外生固定的规则设置出价、询价、后盘或限价。代理人对未来资产收益的预期有三个组成部分，即原教旨主义者、宪章主义者和噪音交易者。此外，代理在描述这些成分的特征上也有所不同，如时间范围、风险厌恶和赋予不同成分的权重。本文提出的模型扩展了大量早期文献，即代理的订单提交是由效用最大化决定的，而不是通常假设的机械单位订单大小。通过这种方式，订单流更好地与市场的持续演变相关联。对于给定的市场结构，我们分析了交易策略的三个组成部分对价格和订单流统计性质的影响，并观察到模型产生的人工价格数据中的肥尾和聚类主要是由图表策略造成的。这篇论文提供了进一步的证据，表明书中存在的巨大缺口可能会产生巨大的价格变化。
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英文标题：
《The Impact of Heterogeneous Trading Rules on the Limit Order Book and
  Order Flows》
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作者：
Carl Chiarella, Giulia Iori, Josep Perello
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed to have three components to the expectation of future asset returns, namely-fundamentalist, chartist and noise trader. Furthermore agents differ in the characteristics describing these components, such as time horizon, risk aversion and the weights given to the various components. The model developed here extends a great deal of earlier literature in that the order submissions of agents are determined by utility maximisation, rather than the mechanical unit order size that is commonly assumed. In this way the order flow is better related to the ongoing evolution of the market. For the given market structure we analyze the impact of the three components of the trading strategies on the statistical properties of prices and order flows and observe that it is the chartist strategy that is mainly responsible of the fat tails and clustering in the artificial price data generated by the model. The paper provides further evidence that large price changes are likely to be generated by the presence of large gaps in the book.
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PDF链接：
https://arxiv.org/pdf/0711.3581