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...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.展开更多
The shaping of a limit order book illustrates the dynamics of the trading process,the changing pattern of the execution probability of limit orders therefore plays an important role.This paper presents a computable ex...The shaping of a limit order book illustrates the dynamics of the trading process,the changing pattern of the execution probability of limit orders therefore plays an important role.This paper presents a computable execution probability model for limit order market,as well as a numerical example that intuitively characterizes the changing pattern of the execution probability.The common effects of the lengths of both buy and sell queues on the execution probability are explored.In the limit book,the cumulative probability of limit orders is introduced as a crucial index of market depth to describe the shaping process which brings new insights into the structure of the order placement decision.展开更多
基金This work was supported by the National Natural Science Foundation of China(Grants Nos.U1811462,71671066,and 71532009)the Fundamental Research Funds for the Central Universities.
文摘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.
基金supported by the National Natural Science Foundation of China under Grant Nos.71371024and 71771008the Funds for the First-Class Discipline Construction under Grant No.XK1802-5the Fundamental Research Funds for the Central University under Grant Nos.PTRW1808 and YWF-19-BJ-W-45。
文摘The shaping of a limit order book illustrates the dynamics of the trading process,the changing pattern of the execution probability of limit orders therefore plays an important role.This paper presents a computable execution probability model for limit order market,as well as a numerical example that intuitively characterizes the changing pattern of the execution probability.The common effects of the lengths of both buy and sell queues on the execution probability are explored.In the limit book,the cumulative probability of limit orders is introduced as a crucial index of market depth to describe the shaping process which brings new insights into the structure of the order placement decision.
