IDEAS home Printed from https://ideas.repec.org/r/arx/papers/0709.0159.html
   My bibliography  Save this item

An empirical behavioral model of liquidity and volatility

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Ioane Muni Toke, 2014. "Exact and asymptotic solutions of the call auction problem," Papers 1407.4512, arXiv.org, revised Nov 2014.
  2. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical shape function of limit-order books in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5182-5188.
  3. Luisanna Cocco & Giulio Concas & Michele Marchesi, 2017. "Using an artificial financial market for studying a cryptocurrency market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 345-365, July.
  4. Annalisa Fabretti, 2013. "On the problem of calibrating an agent based model for financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(2), pages 277-293, October.
  5. Xiao-Hui Ni & Wei-Xing Zhou, 2007. "Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks," Papers 0710.2402, arXiv.org.
  6. T. T. Chen & B. Zheng & Y. Li & X. F. Jiang, 2017. "New approaches in agent-based modeling of complex financial systems," Papers 1703.06840, arXiv.org.
  7. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
  8. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical regularities of order placement in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3173-3182.
  9. Siegmann, Arjen & Stefanova, Denitsa, 2017. "The evolving beta-liquidity relationship of hedge funds," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 286-303.
  10. Li, Da-Ye & Nishimura, Yusaku & Men, Ming, 2014. "Fractal markets: Liquidity and investors on different time horizons," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 144-151.
  11. M. Cristelli & V. Alfi & L. Pietronero & A. Zaccaria, 2010. "Liquidity crisis, granularity of the order book and price fluctuations," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 73(1), pages 41-49, January.
  12. Julius Bonart & Martin D. Gould, 2017. "Latency and liquidity provision in a limit order book," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1601-1616, October.
  13. Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2010. "Complex stock trading network among investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4929-4941.
  14. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
  15. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
  16. Martin Šmíd, 2016. "Estimation of zero-intelligence models by L1 data," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1423-1444, September.
  17. Daniel C. Wagner & Thilo A. Schmitt & Rudi Schafer & Thomas Guhr & Dietrich E. Wolf, 2014. "Analysis of a decision model in the context of equilibrium pricing and order book pricing," Papers 1404.7356, arXiv.org.
  18. Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario Mantegna, 2009. "Diffusive behavior and the modeling of characteristic times in limit order executions," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 547-563.
  19. repec:kap:compec:v:50:y:2017:i:4:d:10.1007_s10614-016-9612-1 is not listed on IDEAS
  20. Kei Katahira & Yu Chen & Gaku Hashimoto & Hiroshi Okuda, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Papers 1902.02040, arXiv.org.
  21. Schinckus, C., 2013. "Between complexity of modelling and modelling of complexity: An essay on econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3654-3665.
  22. Ioane Muni Toke, 2011. ""Market making" behaviour in an order book model and its impact on the bid-ask spread," Post-Print hal-01705266, HAL.
  23. Daniel Fricke & Thomas Lux, 2015. "The effects of a financial transaction tax in an artificial financial market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 119-150, April.
  24. A. Zaccaria & M. Cristelli & V. Alfi & F. Ciulla & L. Pietronero, 2009. "Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement," Papers 0906.1387, arXiv.org, revised May 2010.
  25. Wagner, D.C. & Schmitt, T.A. & Schäfer, R. & Guhr, T. & Wolf, D.E., 2014. "Analysis of a decision model in the context of equilibrium pricing and order book pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 347-353.
  26. Gianbiagio Curato & Fabrizio Lillo, 2013. "Modeling the coupled return-spread high frequency dynamics of large tick assets," Papers 1310.4539, arXiv.org.
  27. J. Doyne Farmer & John Geanakoplos, 2008. "The Virtues and Vices of Equilibrium and the Future of Financial Economics," Levine's Working Paper Archive 122247000000002067, David K. Levine.
  28. Leal, Sandrine Jacob & Napoletano, Mauro, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
  29. Ioane Muni Toke, 2014. "Exact and asymptotic solutions of the call auction problem," Working Papers hal-01061857, HAL.
  30. Martin D. Gould & Julius Bonart, 2015. "Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book," Papers 1512.03492, arXiv.org.
  31. repec:eee:phsmap:v:524:y:2019:i:c:p:503-518 is not listed on IDEAS
  32. Marco Bartolozzi, 2010. "A Multi Agent Model for the Limit Order Book Dynamics," Papers 1005.0182, arXiv.org, revised Oct 2010.
  33. Eckrot, A. & Jurczyk, J. & Morgenstern, I., 2016. "Ising model of financial markets with many assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 250-254.
  34. repec:eee:spapps:v:127:y:2017:i:6:p:1800-1839 is not listed on IDEAS
  35. repec:eee:phsmap:v:499:y:2018:i:c:p:498-511 is not listed on IDEAS
  36. Yang, ChunXia & Hu, Sen & Xia, BingYing, 2012. "The endogenous dynamics of financial markets: Interaction and information dissemination," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3513-3525.
  37. Wei-Xing Zhou, 2012. "Universal price impact functions of individual trades in an order-driven market," Quantitative Finance, Taylor & Francis Journals, vol. 12(8), pages 1253-1263, June.
  38. Ladislav Kristoufek, 2013. "Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence," Papers 1310.1446, arXiv.org.
  39. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "The Long Memory of Order Flow in the Foreign Exchange Spot Market," Papers 1504.04354, arXiv.org, revised Oct 2015.
  40. Ioane Muni Toke, 2013. "The order book as a queueing system: average depth and influence of the size of limit orders," Papers 1311.5661, arXiv.org.
  41. Forsyth, P.A. & Kennedy, J.S. & Tse, S.T. & Windcliff, H., 2012. "Optimal trade execution: A mean quadratic variation approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1971-1991.
  42. Ryuichi Yamamoto, 2015. "Dynamic predictor selection and order splitting in a limit order market," Working Papers 1514, Waseda University, Faculty of Political Science and Economics.
  43. repec:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-3019-4 is not listed on IDEAS
  44. G.-F. Gu & W.-X. Zhou, 2009. "On the probability distribution of stock returns in the Mike-Farmer model," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 67(4), pages 585-592, February.
  45. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou, 2017. "An empirical behavioural order-driven model with price limit rules," Papers 1704.04354, arXiv.org.
  46. Ni, Xiao-Hui & Jiang, Zhi-Qiang & Gu, Gao-Feng & Ren, Fei & Chen, Wei & Zhou, Wei-Xing, 2010. "Scaling and memory in the non-Poisson process of limit order cancelation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2751-2761.
  47. Julius Bonart & Martin Gould, 2015. "Latency and liquidity provision in a limit order book," Papers 1511.04116, arXiv.org, revised Jun 2016.
  48. Gao-Feng Gu & Xiong Xiong & Yong-Jie Zhang & Wei Chen & Wei Zhang & Wei-Xing Zhou, 2014. "Stylized facts of price gaps in limit order books: Evidence from Chinese stocks," Papers 1405.1247, arXiv.org.
  49. Anufriev, Mikhail & Panchenko, Valentyn, 2009. "Asset prices, traders' behavior and market design," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1073-1090, May.
  50. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
  51. Fang, Wen & Ke, Jinchuan & Wang, Jun & Feng, Ling, 2016. "Linking market interaction intensity of 3D Ising type financial model with market volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 531-542.
  52. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: II. Agent-based models," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1013-1041.
  53. Wei, J.R. & Huang, J.P. & Hui, P.M., 2013. "An agent-based model of stock markets incorporating momentum investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(12), pages 2728-2735.
  54. Chia-Hsuan Yeh & Chun-Yi Yang, 2013. "Do price limits hurt the market?," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(1), pages 125-153, April.
  55. 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.
  56. Gao-Feng Gu & Xiong Xiong & Wei Zhang & Yong-Jie Zhang & Wei-Xing Zhou, 2014. "Empirical properties of inter-cancellation durations in the Chinese stock market," Papers 1403.3478, arXiv.org.
  57. Hautsch, Nikolaus & Huang, Ruihong, 2012. "The market impact of a limit order," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 501-522.
  58. Zoltán Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren, 2012. "The price impact of order book events: market orders, limit orders and cancellations," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1395-1419, September.
  59. Hongli Niu & Jun Wang, 2014. "Phase and multifractality analyses of random price time series by finite-range interacting biased voter system," Computational Statistics, Springer, vol. 29(5), pages 1045-1063, October.
  60. Ioane Muni Toke & Nakahiro Yoshida, 2017. "Modelling intensities of order flows in a limit order book," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 683-701, May.
  61. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: I. Empirical facts," Post-Print hal-00621058, HAL.
  62. Jian Zhou & Gao-Feng Gu & Zhi-Qiang Jiang & Xiong Xiong & Wei Chen & Wei Zhang & Wei-Xing Zhou, 2017. "Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns," Computational Economics, Springer;Society for Computational Economics, vol. 50(4), pages 579-594, December.
  63. Kovaleva, P. & Iori, G., 2012. "Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity," Working Papers 12/05, Department of Economics, City University London.
  64. Mingjie Ji & Honggang Li, 2016. "Exploring Price Fluctuations in a Double Auction Market," Computational Economics, Springer;Society for Computational Economics, vol. 48(2), pages 189-209, August.
  65. repec:eee:phsmap:v:482:y:2017:i:c:p:741-756 is not listed on IDEAS
  66. repec:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2850-y is not listed on IDEAS
  67. Ioane Muni Toke, 2015. "The order book as a queueing system: average depth and influence of the size of limit orders," Post-Print hal-01006410, HAL.
  68. Masashi Ieda, 2015. "A dynamic optimal execution strategy under stochastic price recovery," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-24, December.
  69. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "Quasi-Centralized Limit Order Books," Papers 1502.00680, arXiv.org, revised Oct 2016.
  70. Ioane Muni Toke, 2015. "Exact and asymptotic solutions of the call auction problem," Post-Print hal-01061857, HAL.
  71. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: II. Agent-based models," Post-Print hal-00621059, HAL.
  72. Gaël Giraud & Céline Rochon, 2010. "Transition to Equilibrium in International Trades," Post-Print halshs-00657038, HAL.
  73. Iori, G. & Porter, J., 2012. "Agent-Based Modelling for Financial Markets," Working Papers 12/08, Department of Economics, City University London.
  74. Daye Li & Rongrong Li & Qiankun Sun, 2017. "How the heterogeneity in investment horizons affects market trends," Applied Economics, Taylor & Francis Journals, vol. 49(15), pages 1473-1482, March.
  75. Blake LeBaron & Ryuichi Yamamoto, 2008. "The Impact of Imitation on Long Memory in an Order-Driven Market," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 34(4), pages 504-517.
  76. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
  77. repec:eee:phsmap:v:493:y:2018:i:c:p:301-310 is not listed on IDEAS
  78. Ioane Muni Toke & Nakahiro Yoshida, 2017. "Modelling intensities of order flows in a limit order book," Post-Print hal-01705080, HAL.
  79. repec:eee:phsmap:v:509:y:2018:i:c:p:1152-1161 is not listed on IDEAS
  80. Axioglou, Christos & Skouras, Spyros, 2011. "Markets change every day: Evidence from the memory of trade direction," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 423-446, June.
  81. Masashi Ieda, 2015. "A dynamic optimal execution strategy under stochastic price recovery," Papers 1502.04521, arXiv.org.
  82. repec:eee:finlet:v:28:y:2019:i:c:p:348-354 is not listed on IDEAS
  83. Hai-Chuan Xu & Wei Chen & Xiong Xiong & Wei Zhang & Wei-Xing Zhou & H Eugene Stanley, 2016. "Limit-order book resiliency after effective market orders: Spread, depth and intensity," Papers 1602.00731, arXiv.org, revised Feb 2017.
IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.