Order aggressiveness, pre-trade transparency, and long memory in an order-driven market

DOI10.1016/J.JEDC.2011.06.009zbMATH Open1282.91145OpenAlexW2089574685MaRDI QIDQ658641FDOQ658641

Ryuichi Yamamoto

Publication date: 13 January 2012

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2011.06.009

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Long-Term Memory in Stock Market Prices
• Rescaled variance and related tests for long memory in volatility and levels
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• There's more to volatility than volume
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Agent-based computational finance: Suggested readings and early research
• The impact of heterogeneous trading rules on the limit order book and order flows
• Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
• The Long Memory of the Efficient Market
• Imitation-theory and experimental evidence
• Time series properties of an artificial stock market
• Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents
• A simulation analysis of the microstructure of double auction markets*
• Do stylised facts of order book markets need strategic behaviour?
• Order-splitting and long-memory in an order-driven market

Cited In (7)

• Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategies
• Self-Organization, Resilience and Robustness of Complex Systems Through an Application to Financial Market from an Agent-Based Approach
• A Concise Formula to Compute General Orthogonal Contrast Coefficients
• Why is equity order flow so persistent?
• The market impact of a limit order
• The impact of reduced pre-trade transparency regimes on market quality
• The information content of high-frequency traders aggressive orders: recent evidence

   Recommendations

• Order-splitting and long-memory in an order-driven market 👍 👎
• Aggressive Orders and the Resiliency of a Limit Order Market* 👍 👎
• The information content of high-frequency traders aggressive orders: recent evidence 👍 👎
• Order book model with herd behavior exhibiting long-range memory 👍 👎
• Title not available (Why is that?) 👍 👎
• Characterising trader manipulation in a limit-order driven market 👍 👎
• The power of patience: a behavioural regularity in limit-order placement 👍 👎

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