文献类型：期刊文献

英文题名：An empirical behavioral 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, Yongjie[3,4];Chen, Wei[5];Zhou, Wei-Xing[1,2,6]

机构：[1]East China Univ Sci & Technol, Sch Business, Shanghai, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai, Peoples R China;[3]Tianjin Univ, Coll Management & Econ, Tianjin, Peoples R China;[4]Tianjin Univ, China Ctr Social Comp & Analyt, Tianjin, Peoples R China;[5]Shenzhen Stock Exchange, Shenzhen, Peoples R China;[6]East China Univ Sci & Technol, Sch Math, Shanghai, Peoples R China

年份：2021

卷号：7

期号：1

外文期刊名：FINANCIAL INNOVATION

收录：;WOS:【SSCI(收录号:WOS:000713116200001)】；

基金：This work was supported by the National Natural Science Foundation of China (Grants Nos. U1811462, 71671066, and 71532009), and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Econophysics; Order-driven model; Agent-based model; Asymmetric price limit; Stylized facts; Limit order book

摘要：We propose an empirical behavioral order-driven (EBOD) model with price limit rules, which consists of an order placement process and an order cancellation process. All the ingredients of the model are determined based on the empirical microscopic regularities in the order flows of stocks traded on the Shenzhen Stock Exchange. The model can reproduce the main stylized facts in real markets. Computational experiments unveil that asymmetric setting of price limits will cause the stock price to diverge exponentially when the up price limit is higher than the down price limit and to vanish vice versa. We also find that asymmetric price limits have little influence on the correlation structure of the return series and the volatility series, but cause remarkable changes in the average returns and the tail exponents of returns. Our EBOD model provides a suitable computational experiment platform for academics, market participants, and policy makers.