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An empirical behavioral model of liquidity and volatility

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Author Info
Mike, Szabolcs
Farmer, J. Doyne

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 32 (2008)
Issue (Month): 1 (January)
Pages: 200-234
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Handle: RePEc:eee:dyncon:v:32:y:2008:i:1:p:200-234

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  1. Xiao-Hui Ni & Zhi-Qiang Jiang & Gao-Feng Gu & Fei Ren & Wei Chen & Wei-Xing Zhou, 2009. "Scaling and memory in the non-poisson process of limit order cancelation," Quantitative Finance Papers 0911.0057, arXiv.org. [Downloadable!]
  2. Gao-Feng Gu & Wei Chen & Wei-Xing Zhou, 2008. "Empirical shape function of limit-order books in the Chinese stock market," Quantitative Finance Papers 0801.3712, arXiv.org. [Downloadable!]
  3. Wei-Xing Zhou, 2007. "Universal price impact functions of individual trades in an order-driven market," Quantitative Finance Papers 0708.3198, arXiv.org, revised Apr 2008. [Downloadable!]
  4. M. Cristelli & V. Alfi & L. Pietronero & A. Zaccaria, 2009. "Liquidity Crisis, Granularity of the Order Book and Price Fluctuations," Quantitative Finance Papers 0902.4159, arXiv.org, revised Jul 2009. [Downloadable!]
  5. Anufriev, M. & Panchenko, V., 2007. "Asset Prices, Traders' Behavior, and Market Design," CeNDEF Working Papers 07-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
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  6. Gao-Feng Gu & Wei Chen & Wei-Xing Zhou, 2007. "Empirical regularities of order placement in the Chinese stock market," Quantitative Finance Papers 0712.0912, arXiv.org. [Downloadable!]
  7. A. Zaccaria & M. Cristelli & V. Alfi & F. Ciulla & L. Pietronero, 2009. "The asymmetric statistics of order books: The role of discreteness and non-uniform limit order deposition," Quantitative Finance Papers 0906.1387, arXiv.org. [Downloadable!]
  8. Gao-Feng Gu & Wei-Xing Zhou, 2008. "On the probability distribution of stock returns in the Mike-Farmer model," Quantitative Finance Papers 0805.3593, arXiv.org. [Downloadable!]
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