Arbuzov Vyacheslav Olegovich – аспирант кафедры информационных систем и математических методов в экономике; заместитель руководителя Лаборатории финансового моделирования и управления рисками Risk Lab (Пермский государственный национальный исследовательский университет (ПГНИУ); ЗАО «ПРОГНОЗ»)
This article describes the approach to construction of microstructural simulation models of the continuous order matching that takes into account possible changes under regulatory effects from the side of the financial regulator. The nature of the effect of the minimum price change amount on the bid flow parameters is determined. The updated model of the bid- cancelling process is suggested. The methodology for validation of constructed simulation models is created. The software package that allows to create simulation models based on the approaches represented in the article is developed.
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