Table 3 Parameters of the model

Number of simulations

n

100

Number of days

N

425

Number of tics

T

1440

Mean value Gaussian (limit price) distribution

\(\mu\)

1

Variance of the Gaussian (limit price) distribution

\(\sigma\)

0.1125

1st shape parameter of the Beta (limit price) distribution

\(\alpha\)

2.85

2st shape parameter of the Beta (limit price) distribution

\(\beta\)

1

Location parameter of the Beta (limit price) distribution

a

0.015

Scale parameter of the Beta (limit price) distribution

c

0.5

Mixture weight of the amount distribution

q

0.05

Rate parameter of the Poisson distribution

\(\lambda _{P}\)

2.0

Rate parameter of the Exponential distribution

\(\lambda _{E}\)

1.0

Location parameter of the log-normal distribution

\(\mu _L\)

1.5

Shape parameter of the log-normal distribution

\(\sigma _L\)

0.1

Probability of the RA to issue an order

\(P_{RA}\)

0.2583

Probability of the RSA to issue an order

\(P_{RSA}\)

0.15

Probability of the CA to issue an order

\(P_{CA}\)

0.03625

Belief of the CA that the price will drop

\(Q_{CA}\)

0.0085

Size of the window of the returns

l

6

Cash matrix scale parameter

s

0.00172

LSE amount

\(\rho\)

0.45

Intraday frequency of LSE orders

f

25 min