Related papers: A theory for long-memory in supply and demand
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…
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member…
We propose a stochastic process driven by the memory effect with novel distributions which include both exponential and leptokurtic heavy-tailed distributions. A class of the distributions is analytically derived from the continuum limit of…
We consider the evolution of logistic maps under long-term memory. The memory effects are characterized by one parameter \alpha. If it equals to zero, any memory is absent. This leads to the ordinary discrete dynamical systems. For \alpha =…
We investigate the probability distribution of the volatility return intervals $\tau$ for the Chinese stock market. We rescale both the probability distribution $P_{q}(\tau)$ and the volatility return intervals $\tau$ as…
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify and characterize hidden orders we fit…
We respond to the issues discussed by Farmer and Lillo (FL) related to our proposed approach to understanding the origin of power-law distributions in stock price fluctuations. First, we extend our previous analysis to 1000 US stocks and…
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask…
The available liquidity at any time in financial markets falls largely short of the typical size of the orders that institutional investors would trade. In order to reduce the impact on prices due to the execution of large orders, traders…
In this work, we aim to reconcile several apparently contradictory observations in market microstructure: is the famous "square-root law" of metaorder impact, which decays with time, compatible with the random-walk nature of prices and the…
We propose a stochastic process driven by memory effect with novel distributions including both exponential and leptokurtic heavy-tailed distributions. A class of distribution is analytically derived from the continuum limit of the discrete…
Using a proprietary dataset of meta-orders and prediction signals, and assuming a quasi-linear impact model, we deconvolve market impact from past correlated trades and a predictable return component to elicit the temporal dependence of the…
We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual markets shows the power-law tail of the…
We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock…
Temporal correlations in the time series observed in various systems have been characterized by the autocorrelation function. Such correlations can be explained by heavy-tailed interevent time distributions as well as by correlations…
This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large orders that are split into smaller pieces before being sent to…
We study the long-term memory in diverse stock market indices and foreign exchange rates using the Detrended Fluctuation Analysis(DFA). For all daily and high-frequency market data studied, no significant long-term memory property is…
Modeling financial markets based on empirical data poses challenges in selecting the most appropriate models. Despite the abundance of empirical data available, researchers often face difficulties in identifying the best-fitting model.…
A generalization of the economic model of logistic growth, which takes into account the effects of memory and crises, is suggested. Memory effect means that the economic factors and parameters at any given time depend not only on their…
In this paper we give explicit examples of power-law correlated stationary Markovian processes y(t) where the stationary pdf shows tails which are gaussian or exponential. These processes are obtained by simply performing a coordinate…