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

R. Yamamoto*, B. Lebaron

*この研究の対応する著者

研究成果: Article査読

14 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)51-57
ページ数7
ジャーナルEuropean Physical Journal B
73
1
DOI
出版ステータスPublished - 2010 1
外部発表はい

ASJC Scopus subject areas

  • 電子材料、光学材料、および磁性材料
  • 凝縮系物理学

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