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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| Main Authors: | , , , , , , |
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| Format: | article |
| Language: | EN |
| Published: |
SpringerOpen
2021
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| Subjects: | |
| Online Access: | https://doaj.org/article/481e81e32e01406b864ab28ba34b6939 |
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