Research Article
Impact of High-Frequency Trading with an Order Book Imbalance Strategy on Agent-Based Stock Markets
Table 4
Numbers and proportions of NA’s orders and POMM’s orders in the order book that matched a new order.
| | NA | PMM |
| | Phase 1 | Buy orders | 178.3 | (15.2%) | 993.0 | (84.8%) | | Sell orders | 192.7 | (16.3%) | 990.3 | (83.7%) |
| | Phase 2 | Buy orders | 6905.5 | (97.7%) | 163.3 | (2.3%) | | Sell orders | 9.4 | (6.5%) | 134.2 | (93.5%) |
| | Phase 3 | Buy orders | 329.3 | (24.2%) | 1,031.3 | (75.8%) | | Sell orders | 4,327.8 | (80.1%) | 1,077.5 | (19.9%) |
| | Phase 4 | Buy orders | 567.8 | (14.2%) | 3,439.8 | (85.8%) | | Sell orders | 982.0 | (22.3%) | 3,424.1 | (77.7%) |
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