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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/76092

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/76092

Title:	Order-splitting and long-memory in an order-driven market
Authors:	Yamamoto, Ryuichi;Lebaron, B. 山本竜市
Contributors:	國貿系
Keywords:	Empirical properties;Empirical research;Long-memory;Price impacts;Stock market;Trading volumes;Commerce
Date:	2010-01
Issue Date:	2015-06-29 17:12:47 (UTC+8)
Abstract:	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. © 2009 EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg.
Relation:	European Physical Journal B, 73(1), 51-57
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1140/epjb/e2009-00392-y
DOI:	10.1140/epjb/e2009-00392-y
Appears in Collections:	[國際經營與貿易學系 ] 期刊論文

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