Multi-Agent Order Book Simulation: Mono- and Multi-Asset High-Frequency Market Making Strategies

  • Laurent Foata
  • Michael Vidhamali
  • Frédéric Abergel
Part of the New Economic Windows book series (NEW)


We present some simulation results on various mono- and multi-asset market making strategies. Starting with a zero-intelligence market, we gradually enhance the model by taking into account such properties as the autocorrelation of trade signs, or the existence of informed traders. We then use Monte Carlo simulations to study the effects of those properties on some elementary market making strategies. Finally, we present some possible improvements of the strategies.


Limit Order Market Maker Order Book Market Order Informed Trader 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer-Verlag Italia 2011

Authors and Affiliations

  • Laurent Foata
    • 1
  • Michael Vidhamali
    • 1
  • Frédéric Abergel
    • 1
  1. 1.Laboratory of Mathematics Applied to SystemsÉcole Centrale ParisChâtenay-MalabryFrance

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