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

<table class="table-group" id="tab6"><tr><td><table class="table"><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr class="thead"><td class="align_left"> </td><td class="align_center">PMM</td><td class="align_center">POMM</td><td class="align_center">PrOMM</td></tr><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr><td class="align_left">Stable market</td><td class="align_center">29,241.9</td><td class="align_center">30,950.1</td><td class="align_center">6,485.9</td></tr><tr><td class="align_left">Unstable market</td><td class="align_center">−647.2</td><td class="align_center">−23,927.0</td><td class="align_center">32,834.8</td></tr><tr class="table-tr"><td colspan="4"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

Complexity

tab6

Table 6

Table 6: Impact of High-Frequency Trading with an Order Book Imbalance Strategy on Agent-Based Stock Markets 