Journal article
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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Authors
Bibliographic Details
- Journal:
- JOURNAL OF ECONOMIC DYNAMICS and CONTROL
- Volume:
- 32
- Issue:
- 1
- Pages:
- 200-234
- Publication date:
- 2007-09-03
- DOI:
- ISSN:
-
0165-1889
- Source identifiers:
-
387654
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
pubs:387654
- UUID:
-
uuid:8cff178d-1a26-4c1e-b610-42042612420a
- Local pid:
- pubs:387654
- Deposit date:
- 2013-11-16
Terms of use
- Copyright date:
- 2007
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