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
Full text not available from this repository.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 |
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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 |
SWORD Depositor: | Elements |
Depositing User: | Elements |
Date Deposited: | 12 Feb 2013 15:21 |
Last Modified: | 06 Jan 2022 14:37 |
URI: | http://repository.essex.ac.uk/id/eprint/5543 |
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