文献类型：期刊文献

英文题名：Emergence of long memory in stock volatility from a modified Mike-Farmer model

作者：Gu, Gao-Feng[1,2,3];Zhou, Wei-Xing[1,2,3,4,5]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[4]Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100080, Peoples R China;[5]E China Univ Sci & Technol, Minist Educ, Engn Res Ctr Proc Syst Engn, Shanghai 200237, Peoples R China

年份：2009

卷号：86

期号：4

外文期刊名：EPL

收录：;WOS:【SSCI(收录号:WOS:000267292000037)，SCI-EXPANDED(收录号:WOS:000267292000037)】；

基金：We are grateful to the anonymous referees for their invaluable suggestions. This work was partly supported by NSFC (70501011), Fok Ying Tong Education Foundation (101086), NCET (07-0288), and Shanghai Educational Development Foundation (2008SG29).

语种：英文

摘要：The Mike-Farmer (MF) model was constructed empirically based on the continuous double auction mechanism in an order-driven market, which can successfully reproduce the cubic law of returns and the diffusive behavior of stock prices at the transaction level. However, the volatility (defined by absolute return) in the MF model does not show sound long memory. We propose a modified version of the MF model by including a new ingredient, that is, long memory in the aggressiveness (quantified by the relative prices) of incoming orders, which is an important stylized fact identified by analyzing the order flows of 23 liquid Chinese stocks. Long memory emerges in the volatility synthesized from the modified MF model with the DFA scaling exponent close to 0.76, and the cubic law of returns and the diffusive behavior of prices are also produced at the same time. We also find that the long memory of order signs has no impact on the long memory property of volatility, and the memory effect of order aggressiveness has little impact on the diffusiveness of stock prices. Copyright (C) EPLA, 2009