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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/75975


    Title: Order-splitting and long-memory in an order-driven market
    Authors: Yamamoto, R.;Lebaron, B.
    山本竜市
    Contributors: 國貿系
    Keywords: Empirical properties;Empirical research;Long-memory;Price impacts;Stock market;Trading volumes;Commerce
    Date: 2010-01
    Issue Date: 2015-06-18 17:16:57 (UTC+8)
    Abstract: Recent empirical research has documented long-memories of trading volume, volatility, and order-signs in stock markets. We conjecture that traders' order-splitting is related to these empirical features. This study conducts simulations on an order-driven economy where agents split their orders into small pieces and execute piece by piece to reduce price impact. We demonstrate that we can replicate the long-memories in our order-splitting economy and conclude that order-splitting can be a possible cause for these empirical properties. © 2009 EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg.
    Relation: European Physical Journal B,Volume 73, Issue 1, Pages 51-57
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1140/epjb/e2009-00392-y
    DOI: 10.1140/epjb/e2009-00392-y
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

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