Research Article
Impact of High-Frequency Trading with an Order Book Imbalance Strategy on Agent-Based Stock Markets
Table 3
Numbers and proportions of NA’s and PMM’s orders in the order book that matched a new order.
| | NA | PMM |
| | Phase 1 | Buy orders | 190.9 | (16.5%) | 965.6 | (83.5%) | | Sell orders | 202.5 | (17.4%) | 963.9 | (82.6%) |
| | Phase 2 | Buy orders | 6,893.3 | (98.0%) | 140.1 | (2.0%) | | Sell orders | 6.8 | (4.8%) | 136.0 | (95.2%) |
| | Phase 3 | Buy orders | 275.5 | (19.4%) | 1145.0 | (80.6%) | | Sell orders | 4277.7 | (78.7%) | 1160.1 | (21.3%) |
| | Phase 4 | Buy orders | 592.5 | (15.0%) | 3,357.8 | (85.0%) | | Sell orders | 986.2 | (22.7%) | 3,350.6 | (77.3%) |
|
|
