Rule-based trading on an order-driven exchange: a reassessment
详细说明了一个计算行为金融学模型，质疑先前发现，重新评估了不同交易策略对市场结果的影响，并揭示了成交量与波动率的关系。
A core research area of computational behavioral finance investigates emergent price dynamics when heterogeneous traders follow a mix of rule-based strategies and interact indirectly through a limit order book. This paper offers a detailed specification of such a model in order to raise questions about some previous findings. The questions force a comprehensive reconsideration of the price dynamics of a well-known model. This leads to a surprising clarification of the contributions of various trading strategies to market outcomes: a popular characterization of chartism proves largely irrelevant for price dynamics. We also shed new light on the volume-volatility relationship, and provide improved visualizations to expose market behavior.