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Double Auction Markets with Heterogeneous Boundedly Rational Traders

Funding: 2011: $100,000
2012: $75,000
2013: $50,000

Project Member(s): He, X.

Funding or Partner Organisation: Australian Research Council (ARC Discovery Projects)

Start year: 2011

Summary: The project will study limit order markets for the formation of security prices in modern exchanges, allowing heterogeneity and bounded rationality of the economic agents who will engage in various trading strategies. The model developed will be of interest to market participants seeking to design more efficient and transparent markets.

Publications:

He, XZ & Zheng, H 2016, 'Trading heterogeneity under information uncertainty', Journal of Economic Behavior and Organization, vol. 130, pp. 64-80.
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Afifovic, J, Chiarella, C, He, X & Wei, L 2016, 'High frequency trading and learning in a dynamic limit order market', The Inaugural Workshop on the Complex Information and Financial Market Dydnmics, Tianjin, China.

Arifovic, J, Chiarella, C, He, X & Wei, L 2016, 'High frequency trading and learning in a dynamic limit order market', Quantitative Methods in Finance, Sydney.

Arifovic, J, Chiarella, C, He, X & Wei, L 2016, 'High frequency trading and learning in a dynamic limit order market', International Conference on Computing in Economics and Finance, Bordeaux.
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Chiarella, C, Arifovic, J, He, X & Wei, L 2016, 'High frequency trading and learning', SSRN.

Chiarella, C, Dieci, R, He, X & Li, K 2013, 'An evolutionary CAPM under heterogeneous beliefs', Annals of Finance, vol. 9, no. 2, pp. 185-215.
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Keywords: bounded rationality, heterogeneous beliefs, order book dynamics, asset price dynamics.

FOR Codes: Finance, Banking, Finance and Investment not elsewhere classified, Stochastic Analysis and Modelling, Finance Services, Application Software Packages (excl. Computer Games), Market-Based Mechanisms