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Dynamic Order Submission and Herding Behavior in Electronic Trading

Ng, Wing Lon (2010) 'Dynamic Order Submission and Herding Behavior in Electronic Trading.' Journal of Financial Research, 33 (1). pp. 27-43. ISSN 0270-2592

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Abstract

I analyze the dynamic trading behavior of market participants by developing a bivariate modeling framework for describing the arrival process of buy and sell orders in a limit order book. The model contains an extended autoregressive conditional duration model with a flexible generalized Beta distribution to explain the duration process, combined with a dynamic logit model to capture the traders' order submission strategy. I find that the state of the order book as well as the speed of the order arrival have a significant influence on the order placement, inducing temporal asymmetric market movements.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions: Faculty of Science and Health > Computer Science and Electronic Engineering, School of > Centre for Computational Finance and Economic Agents
Depositing User: Jim Jamieson
Date Deposited: 12 Feb 2013 15:21
Last Modified: 12 Feb 2013 15:21
URI: http://repository.essex.ac.uk/id/eprint/5543

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