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An empirical behavioral order‑driven model with price limit rules
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作者 Gao‑Feng Gu Xiong Xiong +4 位作者 Hai‑Chuan Xu Wei Zhang Yongjie Zhang Wei Chen Wei‑Xing Zhou 《Financial Innovation》 2021年第1期1733-1756,共24页
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
关键词 ECONOPHYSICS order-driven model Agent-based model Asymmetric price limit Stylized facts Limit order book
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Order Execution Probability and Order Queue in Limit Order Markets
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作者 ZHANG Qiang WANG Chao +1 位作者 LIU Shancun YANG Yaodong 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2020年第5期1545-1557,共13页
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
关键词 Cumulative execution probability execution probability limit order limit order book market order
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Analysis of Trading Volume Behavior Under Continuous Double Auction Mechanism in Limit Order Markets
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作者 Bo Liu Yong Zeng Ping Li 《Journal of Systems Science and Information》 2007年第2期123-140,共18页
In this paper, we develop a theoretical model to describe the dynamics of the trading volume under continuous double auction mechanism in limit order markets. We examine the formation process and statistical properti... In this paper, we develop a theoretical model to describe the dynamics of the trading volume under continuous double auction mechanism in limit order markets. We examine the formation process and statistical properties (including the mean, wriance, and realized value) of the buy side cumulative trading volume, sell side cumulative trading volume and total cumulative volume under continuous double auction mechanism by means of mathematical modeling based on Poisson process of order flows, and do some corresponding numerical simulations and comparative statics on the factors that would influence these three volumes aforementioned. The results indicate that these three volumes are all influenced by the factors including the arrival rate of orders, demands of each order, proportional structure between buy and sell orders, executed probability and time interval we examined. And our established theoretical model can well capture the dynamics of these three volumes under continuous double auction mechanism in limit order markets when all these factors interact. 展开更多
关键词 financial market microstructure continuous double auction limit order book trading volume Poisson process SIMULATION
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Explicit Solution for Constrained Optimal Execution Problem with General Correlated Market Depth 被引量:1
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作者 Wei-Ping Wu Jian-Jun Gao 《Journal of the Operations Research Society of China》 EI CSCD 2018年第1期159-174,共16页
This work studies the constrained optimal execution problem with a random market depth in the limit order market.Motivated from the real trading activities,our execution model considers the execution bounds and allows... This work studies the constrained optimal execution problem with a random market depth in the limit order market.Motivated from the real trading activities,our execution model considers the execution bounds and allows the random market depth to be statistically correlated in different periods.Usually,it is difficult to achieve the analytical solution for this class of constrained dynamic decision problem.Thanks to the special structure of this model,by applying the proposed state separation theorem and dynamic programming,we successfully obtain the analytical execution policy.The revealed policy is of feedback nature.Examples are provided to illustrate our solution methods.Simulation results demonstrate the advantages of our model comparing with the classical execution policy. 展开更多
关键词 Optimal execution problem Random market depth Limit order book Stochastic dynamic programming
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