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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SpringerOpen
2021
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oai:doaj.org-article:481e81e32e01406b864ab28ba34b69392021-11-08T10:57:12ZAn empirical behavioral order-driven model with price limit rules10.1186/s40854-021-00288-42199-4730https://doaj.org/article/481e81e32e01406b864ab28ba34b69392021-11-01T00:00:00Zhttps://doi.org/10.1186/s40854-021-00288-4https://doaj.org/toc/2199-4730Abstract 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 traded on the Shenzhen Stock Exchange. The model can reproduce the main stylized facts in real markets. Computational experiments unveil that asymmetric setting of price limits will cause the stock price to diverge exponentially when the up price limit is higher than the down price limit and to vanish vice versa. We also find that asymmetric price limits have little influence on the correlation structure of the return series and the volatility series, but cause remarkable changes in the average returns and the tail exponents of returns. Our EBOD model provides a suitable computational experiment platform for academics, market participants, and policy makers.Gao-Feng GuXiong XiongHai-Chuan XuWei ZhangYongjie ZhangWei ChenWei-Xing ZhouSpringerOpenarticleEconophysicsOrder-driven modelAgent-based modelAsymmetric price limitStylized factsLimit order bookPublic financeK4430-4675FinanceHG1-9999ENFinancial Innovation, Vol 7, Iss 1, Pp 1-24 (2021) |
| institution |
DOAJ |
| collection |
DOAJ |
| language |
EN |
| topic |
Econophysics Order-driven model Agent-based model Asymmetric price limit Stylized facts Limit order book Public finance K4430-4675 Finance HG1-9999 |
| spellingShingle |
Econophysics Order-driven model Agent-based model Asymmetric price limit Stylized facts Limit order book Public finance K4430-4675 Finance HG1-9999 Gao-Feng Gu Xiong Xiong Hai-Chuan Xu Wei Zhang Yongjie Zhang Wei Chen Wei-Xing Zhou An empirical behavioral order-driven model with price limit rules |
| description |
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 traded on the Shenzhen Stock Exchange. The model can reproduce the main stylized facts in real markets. Computational experiments unveil that asymmetric setting of price limits will cause the stock price to diverge exponentially when the up price limit is higher than the down price limit and to vanish vice versa. We also find that asymmetric price limits have little influence on the correlation structure of the return series and the volatility series, but cause remarkable changes in the average returns and the tail exponents of returns. Our EBOD model provides a suitable computational experiment platform for academics, market participants, and policy makers. |
| format |
article |
| author |
Gao-Feng Gu Xiong Xiong Hai-Chuan Xu Wei Zhang Yongjie Zhang Wei Chen Wei-Xing Zhou |
| author_facet |
Gao-Feng Gu Xiong Xiong Hai-Chuan Xu Wei Zhang Yongjie Zhang Wei Chen Wei-Xing Zhou |
| author_sort |
Gao-Feng Gu |
| title |
An empirical behavioral order-driven model with price limit rules |
| title_short |
An empirical behavioral order-driven model with price limit rules |
| title_full |
An empirical behavioral order-driven model with price limit rules |
| title_fullStr |
An empirical behavioral order-driven model with price limit rules |
| title_full_unstemmed |
An empirical behavioral order-driven model with price limit rules |
| title_sort |
empirical behavioral order-driven model with price limit rules |
| publisher |
SpringerOpen |
| publishDate |
2021 |
| url |
https://doaj.org/article/481e81e32e01406b864ab28ba34b6939 |
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