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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/47285

    Title: Long-Memory in an Order-Driven Market
    Authors: 山本竜市
    Yamamoto, Ryuichi
    Date: 2007
    Issue Date: 2010-10-19 22:09:02 (UTC+8)
    Abstract: This paper introduces an order-driven market with heterogeneous investors, who submit limit or market orders according to their own trading rules. The trading rules are repeatedly updated via simple learning and adaptation of the investors. We analyze markets with and without learning and adaptation. The simulation results show that our model with learning and adaptation successfully replicates long-memories in trading volume, stock return volatility, and signs of market orders in an informationally efficient market. We also discuss why evolutionary dynamics are important in generating these features.
    Relation: Physica A, Vol.383, pp.85-89
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.physa.2007.04.090
    DOI: 10.1016/j.physa.2007.04.090
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

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