Impact of High-Frequency Trading with an Order Book Imbalance Strategy on Agent-Based Stock Markets

<table class="table-group" id="tab2"><tr><td><table class="table"><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr class="thead"><td class="align_center" colspan="2">Kurtosis</td><td class="align_center">4.089</td></tr><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr><td class="align_left" rowspan="6">Autocorrelation coefficients for squared returns</td><td class="align_center">Lag</td><td class="align_center"> </td></tr><tr><td class="align_center">1</td><td class="align_center">0.158</td></tr><tr><td class="align_center">2</td><td class="align_center">0.123</td></tr><tr><td class="align_center">3</td><td class="align_center">0.090</td></tr><tr><td class="align_center">4</td><td class="align_center">0.074</td></tr><tr><td class="align_center">5</td><td class="align_center">0.064</td></tr><tr><td class="align_left" colspan="3"><hr/></td></tr><tr><td class="align_left" colspan="2">Proportion of the OBI property</td><td class="align_center">2.396%</td></tr><tr class="table-tr"><td colspan="3"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

Complexity

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Table 2

Table 2: Impact of High-Frequency Trading with an Order Book Imbalance Strategy on Agent-Based Stock Markets 