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

DOI10.1016/J.JEDC.2011.06.009MaRDI QIDQ658641zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

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

Cited in

(12)

• Why is equity order flow so persistent?
• The impact of reduced pre-trade transparency regimes on market quality
• Aggressive Orders and the Resiliency of a Limit Order Market*
• A Concise Formula to Compute General Orthogonal Contrast Coefficients
• The market impact of a limit order
• Do behavioral biases affect order aggressiveness?
• Self-organization, resilience and robustness of complex systems through an application to financial market from an agent-based approach
• The information content of high-frequency traders aggressive orders: recent evidence
• Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategies
• A theoretical and numerical framework of fractional differential inclusions model in economic dynamics with memory and uncertainty
• Dynamic order dispersion and volatility persistence in a simple limit order book model
• Order-splitting and long-memory in an order-driven market

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