Order-splitting and long-memory in an order-driven market

Ryuichi Yamamoto, B. Lebaron

Research output: Contribution to journalArticle

13 Citations (Scopus)

Abstract

Recent empirical research has documented long-memories of trading volume, volatility, and order-signs in stock markets. We conjecture that traders' order-splitting is related to these empirical features. This study conducts simulations on an order-driven economy where agents split their orders into small pieces and execute piece by piece to reduce price impact. We demonstrate that we can replicate the long-memories in our order-splitting economy and conclude that order-splitting can be a possible cause for these empirical properties.

Original languageEnglish
Pages (from-to)51-57
Number of pages7
JournalEuropean Physical Journal B
Volume73
Issue number1
DOIs
Publication statusPublished - 2010 Jan
Externally publishedYes

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economy
Data storage equipment
volatility
causes
simulation
Financial markets

ASJC Scopus subject areas

  • Condensed Matter Physics
  • Electronic, Optical and Magnetic Materials

Cite this

Order-splitting and long-memory in an order-driven market. / Yamamoto, Ryuichi; Lebaron, B.

In: European Physical Journal B, Vol. 73, No. 1, 01.2010, p. 51-57.

Research output: Contribution to journalArticle

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