- Abstract:
-
We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are validated against real data. Our empirical studies of order flow uncover several interesting regularities in the way trading orders are placed and cancelled. The resulting simple model of order flow is used to simulate price formation under a continuous doubl...
Expand abstract - Publication status:
- Published
- Publisher copy:
- 10.1016/j.jedc.2007.01.025
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- Journal:
- JOURNAL OF ECONOMIC DYNAMICS and CONTROL
- Volume:
- 32
- Issue:
- 1
- Pages:
- 200-234
- Publication date:
- 2007-09-03
- DOI:
- ISSN:
-
0165-1889
- URN:
-
uuid:8cff178d-1a26-4c1e-b610-42042612420a
- Source identifiers:
-
387654
- Local pid:
- pubs:387654
- Language:
- English
- Keywords:
- Copyright date:
- 2007
Journal article
An empirical behavioral model of liquidity and volatility
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