An empirical behavioral order-driven model with price limit rules

Abstract We propose an empirical behavioral order-driven (EBOD) model with price limit rules, which consists of an order placement process and an order cancellation process. All the ingredients of the model are determined based on the empirical microscopic regularities in the order flows of stocks t...

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Autores principales: Gao-Feng Gu, Xiong Xiong, Hai-Chuan Xu, Wei Zhang, Yongjie Zhang, Wei Chen, Wei-Xing Zhou
Formato: article
Lenguaje:EN
Publicado: SpringerOpen 2021
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Acceso en línea:https://doaj.org/article/481e81e32e01406b864ab28ba34b6939
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