Abstract:
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.