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An empirical behavioral model of price formation

Abstract:

Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step in this direction by developing empirical models that capture behavioral regularities in trading order placement and cancellation using data from the London Stock Exchange. For order placement we show that the probability of placing an order at a given pric...

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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
Publication date:
2005-09-22
URN:
uuid:5d66fb22-b785-44fc-9a88-1b8be1bbaa24
Source identifiers:
387652
Local pid:
pubs:387652

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