This chapter is devoted to numerical computer simulation of the market mechanism, the consolidated order book (COB). The chapter consists of two parts. The first part is devoted to empirical analysis of consolidated order book (COB) for the index Russian trading system (RTS) futures. In the second part, we consider Poissonian multi-agent model of the COB. By varying parameters of different groups of agents submitting orders to the book, we are able to model various real-life phenomena. In particular, we model the spread, the profile of the book and large price changes. Two different mechanisms of large price changes are considered in detail. One such mechanism is due to a disbalance of liquidity in the COB, and another one is arising from the disbalance of sell and buy orders in the order flow.
Part of the book: Trade and Global Market