Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Stochastic simulation framework for the Limit Order Book using liquidity
  motivated agents   In this paper we develop a new form of agent-based model for limit order
books based on heterogeneous trading agents, whose motivations are liquidity
driven. These agents are abstractions of real market participants, expressed in
a stochastic model framework. We develop an efficient way to perform
statistical calibration of the model parameters on Level 2 limit order book
data from Chi-X, based on a combination of indirect inference and
multi-objective optimisation. We then demonstrate how such an agent-based
modelling framework can be of use in testing exchange regulations, as well as
informing brokerage decisions and other trading based scenarios.

32
The categories of this paper are: atom-ph
25
The categories of this paper are: patt-sol
15
The categories of this paper are: nucl-ex
28
The categories of this paper are: alg-geom
13
The categories of this paper are: quant-ph
21
The categories of this paper are: adap-org
0
The categories of this paper are: hep-ph
2
The categories of this paper are: math
10
The categories of this paper are: q-bio
26
The categories of this paper are: bayes-an
36
The categories of this paper are: cmp-lg
37
The categories of this paper are: supr-con
22
The categories of this paper are: chao-dyn
12
The categories of this paper are: nucl-th
35
The categories of this paper are: mtrl-th
33
The categories of this paper are: plasm-ph