文献类型：期刊文献

英文题名：An empirical behavioural order-driven model with price limit rules

作者：Gu, Gao-Feng[1,2]; Xiong, Xiong[3,4]; Xu, Hai-Chuan[1,2]; Zhang, Wei[3,4]; Zhang, Yong-Jie[3,4]; Chen, Wei[5]; Zhou, Wei-Xing[1,2,6]

机构：[1] Department of Finance, East China University of Science and Technology, Shanghai, 200237, China; [2] Research Center for Econophysics, East China University of Science and Technology, Shanghai, 200237, China; [3] College of Management and Economics, Tianjin University, Tianjin, 300072, China; [4] China Center for Social Computing and Analytics, Tianjin University, Tianjin, 300072, China; [5] Shenzhen Stock Exchange, 5045 Shennan East Road, Shenzhen, 518010, China; [6] Department of Mathematics, East China University of Science and Technology, Shanghai, 200237, China

年份：2017

外文期刊名：arXiv

收录：EI(收录号：20200401681)

语种：英文

外文关键词：Commerce - Costs - Financial markets

摘要：We develop an empirical behavioural order-driven \(EBOD\) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of relative price. The order placement process is determined by several empirical regularities: The long memory in order directions, the long memory in relative prices, the asymmetric distribution of relative prices, and the nonlinear dependence of the average order size and its standard deviation on the relative price. Order cancellation follows a Poisson process with the arrival rate determined from real data and the cancelled order is determined according to the empirical distributions of relative price level and relative position at the same price level. All these ingredients of the model are derived based on the empirical microscopic regularities in the order flows of stocks on the Shenzhen Stock Exchange. The model is able to produce the main stylized facts in real markets. Computational experiments uncover that asymmetric setting of price limits will cause the stock price diverging exponentially when the up price limit is higher than the down price limit and vanishing vice versus. We also find that asymmetric price limits have influences on stylized facts. Our EBOD model provides a suitable computational experiment platform for academics, market participants and policy makers. JEL classification: G10. Copyright ? 2017, The Authors. All rights reserved.