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Dynamic Order Submission And Herding Behavior In Electronic Trading

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  • Wing Lon Ng

Abstract

I analyze the dynamic trading behavior of market participants by developing a bivariate modeling framework for describing the arrival process of buy and sell orders in a limit order book. The model contains an extended autoregressive conditional duration model with a flexible generalized Beta distribution to explain the duration process, combined with a dynamic logit model to capture the traders’ order submission strategy. I find that the state of the order book as well as the speed of the order arrival have a significant influence on the order placement, inducing temporal asymmetric market movements.

Suggested Citation

  • Wing Lon Ng, 2010. "Dynamic Order Submission And Herding Behavior In Electronic Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(1), pages 27-43, March.
    • Handle: RePEc:bla:jfnres:v:33:y:2010:i:1:p:27-43
    DOI: 10.1111/j.1475-6803.2009.01261.x
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    References listed on IDEAS

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    Cited by:

    1. Wei Cui & Anthony Brabazon & Michael O'Neill, 2011. "Dynamic trade execution: a grammatical evolution approach," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(1/2), pages 4-31.

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