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    题名: Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
    作者: Yamamoto, Ryuichi
    山本竜市
    贡献者: 國貿系
    关键词: Agent-based modeling;Long memory;Market microstructure;Order aggressiveness;Pre-trade transparency
    日期: 2011-11
    上传时间: 2015-06-23 15:49:33 (UTC+8)
    摘要: Recent empirical research has documented that the state of the limit order book influences stock investors` strategies. Investors place more aggressive orders when the same side of the order book is thicker, and less aggressive orders when it is thinner. We conjecture and demonstrate that this behavior is related to long memories of trading volume, volatility, and order signs in stock markets. We investigate our conjecture in two types of artificial stock markets: a transparent market, in which agents observe all limit orders on both sides of the book and order volumes at those prices before they trade; and a less transparent market, in which agents observe only the best five bid and ask quotes with the depth available at these limit prices. The first market structure resembles certain actual stock exchanges in the level of pre-trade transparency, such as the Australian Stock Exchange, NYSE OpenBook, and the London Stock Exchange, whereas the second market structure is consistent with stock exchanges such as Euronext Paris, the Toronto Stock Exchange, the Tokyo Stock Exchange, and Hong Kong Exchanges and Clearing. We demonstrate that our long memory results are robust with different levels of pre-trade transparency, implying that the strategy constructed by the state of the order book is key for explaining long memories in many actual stock exchanges. © 2011 Elsevier B.V.
    關聯: Journal of Economic Dynamics and Control, 35(11), 1938-1963
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1016/j.jedc.2011.06.009
    DOI: 10.1016/j.jedc.2011.06.009
    显示于类别:[國際經營與貿易學系 ] 期刊論文

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