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An empirical behavioral model of liquidity and volatility

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...

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Publication status:
Published

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Publisher copy:
10.1016/j.jedc.2007.01.025

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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
Role:
Author
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:

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