Research Repository

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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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

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