Arbitrage on limit order markets with boundedly rational agents

The goal of this Project is to study arbitrage opportunities on limit order markets with boundedly rational agents. To this end, we aim to construct a model of a market with boundedly rational liquidity providers (market makers), liquidity takers (institutional/retail investors) and arbitragers (high frequency traders), and examine pay-offs of the arbitragers depending on the market's parameters. The software implementation of the model will be made freely available, open for further enhancements.