Ng, Wing Lon (2010) DYNAMIC ORDER SUBMISSION AND HERDING BEHAVIOR IN ELECTRONIC TRADING. Journal of Financial Research, 33 (1). pp. 27-43. DOI https://doi.org/10.1111/j.1475-6803.2009.01261.x
Ng, Wing Lon (2010) DYNAMIC ORDER SUBMISSION AND HERDING BEHAVIOR IN ELECTRONIC TRADING. Journal of Financial Research, 33 (1). pp. 27-43. DOI https://doi.org/10.1111/j.1475-6803.2009.01261.x
Ng, Wing Lon (2010) DYNAMIC ORDER SUBMISSION AND HERDING BEHAVIOR IN ELECTRONIC TRADING. Journal of Financial Research, 33 (1). pp. 27-43. DOI https://doi.org/10.1111/j.1475-6803.2009.01261.x
Abstract
<jats:title>Abstract</jats:title><jats:p>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.</jats:p>
| 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 |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 12 Feb 2013 15:21 |
| Last Modified: | 09 Nov 2023 11:30 |
| URI: | http://repository.essex.ac.uk/id/eprint/5543 |