英文标题：
《Analysis of a decision model in the context of equilibrium pricing and
  order book pricing》
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作者：
Daniel C. Wagner, Thilo A. Schmitt, Rudi Sch\\\"afer, Thomas Guhr,
  Dietrich E. Wolf
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最新提交年份：
2014
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英文摘要：
  An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its parameter dependence within a supply-demand balance setting. We find realistic behavior in a wide parameter range. Second, we embed our decision model in an order book setting. Here we observe interesting features which are not present in the equilibrium pricing scheme. In particular, we find a nontrivial behavior of the order book volumes which reminds of a trend switching phenomenon. Thus, the decision making model alone does not realistically represent the trading and the stylized facts. The order book mechanism is crucial.
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中文摘要：
基于代理的金融市场模型必须包含两个方面：决策和价格形成。我们引入了一个简单的决策模型，并考虑了它在两种不同定价方案中的影响。首先，我们在供需平衡的背景下研究了它的参数依赖性。我们在很宽的参数范围内发现了真实的行为。其次，我们将决策模型嵌入到订单簿设置中。在这里，我们观察到了均衡定价方案中不存在的有趣特征。特别是，我们发现订单册的一个重要行为提醒了趋势转换现象。因此，决策模型本身并不现实地代表交易和程式化事实。订单簿机制至关重要。
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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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