This paper describes a zero–intelligence approach implementation for the modeling of financial markets. We construct a mechanism of order flow and market engine simulation. We analyze stylized facts to estimate the quality of our models. The research is based on a 1 month order and execution history data of the Moscow Exchange (MOEX) for one stock (JSC “Aeroflot”).
CITATION STYLE
Arbuzov, V. (2015). Revisiting of empirical zero intelligence models. In Financial Econometrics and Empirical Market Microstructure (pp. 25–36). Springer International Publishing. https://doi.org/10.1007/978-3-319-09946-0_3
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