Empirical regularities of order placement in the Chinese stock market
Author
Suggested Citation
Download full text from publisher
Other versions of this item:
- Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical regularities of order placement in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3173-3182.
References listed on IDEAS
- Gao-Feng Gu & Wei Chen & Wei-Xing Zhou, 2006. "Quantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature," Papers physics/0701017, arXiv.org, revised Mar 2007.
- Kaizoji, Taisei, 2000.
"Speculative bubbles and crashes in stock markets: an interacting-agent model of speculative activity,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 493-506.
- Taisei Kaizoji, 2000. "Speculative bubbles and crashes in stock market: an interacting-agent model of speculative activity," Papers cond-mat/0010263, arXiv.org.
- Maskawa, Jun-ichi, 2007. "Correlation of coming limit price with order book in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 90-95.
- Arthur, W Brian, 1994. "Inductive Reasoning and Bounded Rationality," American Economic Review, American Economic Association, vol. 84(2), pages 406-411, May.
- Thomas Lux & Michele Marchesi, 1999. "Scaling and criticality in a stochastic multi-agent model of a financial market," Nature, Nature, vol. 397(6719), pages 498-500, February.
- Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2000.
"Modeling market mechanism with minority game,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(1), pages 284-315.
- Damien Challet & Matteo Marsili & Yi-Cheng Zhang, 1999. "Modeling Market Mechanism with Minority Game," Papers cond-mat/9909265, arXiv.org.
- D. Challet & A. Chessa & M. Marsili & Y-C. Zhang, 2001.
"From Minority Games to real markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 168-176.
- D. Challet & A. Chessa & M. Marsili & Y. -C. Zhang, 2000. "From Minority Games to real markets," Papers cond-mat/0011042, arXiv.org.
- Giulia Iori, 1999. "Avalanche Dynamics And Trading Friction Effects On Stock Market Returns," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 10(06), pages 1149-1162.
- J. Doyne Farmer & Paolo Patelli & Ilija I. Zovko, 2003. "The Predictive Power of Zero Intelligence in Financial Markets," Papers cond-mat/0309233, arXiv.org, revised Feb 2004.
- Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002. "Statistical properties of stock order books: empirical results and models," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 251-256.
- Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
- Ilija Zovko & J Doyne Farmer, 2002. "The power of patience: a behavioural regularity in limit-order placement," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 387-392.
- W.-X. Zhou & D. Sornette, 2007. "Self-organizing Ising model of financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 55(2), pages 175-181, January.
- Potters, Marc & Bouchaud, Jean-Philippe, 2003. "More statistical properties of order books and price impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 133-140.
- Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2001.
"Minority games and stylized facts,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 228-233.
- D. Challet & M. Marsili & Y. -C. Zhang, 2001. "Minority Games and stylized facts," Papers cond-mat/0103024, arXiv.org, revised Mar 2001.
- Mike, Szabolcs & Farmer, J. Doyne, 2008.
"An empirical behavioral model of liquidity and volatility,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 200-234, January.
- Szabolcs Mike & J. Doyne Farmer, 2007. "An empirical behavioral model of liquidity and volatility," Papers 0709.0159, arXiv.org.
- Bak, P. & Paczuski, M. & Shubik, M., 1997.
"Price variations in a stock market with many agents,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 430-453.
- P. Bak & M. Paczuski & M. Shubik, 1996. "Price Variations in a Stock Market with Many Agents," Working Papers 96-09-075, Santa Fe Institute.
- P. Bak & M. Paczuski & Martin Shubik, 1996. "Price Variations in a Stock Market with Many Agents," Cowles Foundation Discussion Papers 1132, Cowles Foundation for Research in Economics, Yale University.
- W. Brian Arthur, 1994. "Inductive Reasoning, Bounded Rationality and the Bar Problem," Working Papers 94-03-014, Santa Fe Institute.
- Cont, Rama & Bouchaud, Jean-Philipe, 2000. "Herd Behavior And Aggregate Fluctuations In Financial Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 4(2), pages 170-196, June.
- Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008.
"Empirical distributions of Chinese stock returns at different microscopic timescales,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 495-502.
- Gao-Feng Gu & Wei Chen & Wei-Xing Zhou, 2007. "Empirical distributions of Chinese stock returns at different microscopic timescales," Papers 0708.3472, arXiv.org.
- Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002. "Statistical properties of stock order books: empirical results and models," Science & Finance (CFM) working paper archive 0203511, Science & Finance, Capital Fund Management.
- Follmer, Hans, 1974. "Random economies with many interacting agents," Journal of Mathematical Economics, Elsevier, vol. 1(1), pages 51-62, March.
- Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2001.
"Stylized facts of financial markets and market crashes in Minority Games,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 294(3), pages 514-524.
- Damien Challet & Matteo Marsili & Yi-Cheng Zhang, 2001. "Stylized facts of financial markets and market crashes in Minority Games," Papers cond-mat/0101326, arXiv.org.
- Challet, D. & Zhang, Y.-C., 1997. "Emergence of cooperation and organization in an evolutionary game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 407-418.
- Stefan Bornholdt, 2001. "Expectation Bubbles In A Spin Model Of Markets: Intermittency From Frustration Across Scales," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 12(05), pages 667-674.
- G.-F. Gu & W. Chen & W.-X. Zhou, 2007. "Quantifying bid-ask spreads in the Chinese stock market using limit-order book data," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 57(1), pages 81-87, May.
- R. D'Hulst & G. J. Rodgers, 2000. "Exact Solution Of A Model For Crowding And Information Transmission In Financial Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 609-616.
- Paul Jefferies & Michael Hart & Neil Johnson & P.M. Hui, 2001. "From market games to real-world markets," OFRC Working Papers Series 2001mf02, Oxford Financial Research Centre.
- R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
- Maslov, Sergei, 2000. "Simple model of a limit order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 278(3), pages 571-578.
- P. Jefferies & M.L. Hart & P.M. Hui & N.F. Johnson, 2001. "From market games to real-world markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 20(4), pages 493-501, April.
- Jun-ichi Maskawa, 2007. "Correlation of coming limit price with order book in stock markets," Papers physics/0702029, arXiv.org.
- F. Lillo, 2007. "Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 55(4), pages 453-459, February.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008.
"Empirical shape function of limit-order books in the Chinese stock market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5182-5188.
- Gao-Feng Gu & Wei Chen & Wei-Xing Zhou, 2008. "Empirical shape function of limit-order books in the Chinese stock market," Papers 0801.3712, arXiv.org.
- Gu, Gao-Feng & Ren, Fei & Ni, Xiao-Hui & Chen, Wei & Zhou, Wei-Xing, 2010.
"Empirical regularities of opening call auction in Chinese stock market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(2), pages 278-286.
- Gao-Feng Gu & Fei Ren & Xiao-Hui Ni & Wei Chen & Wei-Xing Zhou, 2009. "Empirical regularities of opening call auction in Chinese stock market," Papers 0905.0582, arXiv.org.
- Gu, Gao-Feng & Xiong, Xiong & Zhang, Yong-Jie & Chen, Wei & Zhang, Wei & Zhou, Wei-Xing, 2016. "Stylized facts of price gaps in limit order books," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 48-58.
- Yiqi Liu & Qiang Liu & Zhi Liu & Deng Ding, 2017. "Determining the integrated volatility via limit order books with multiple records," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1697-1714, November.
- Gao-Feng Gu & Xiong Xiong & Yong-Jie Zhang & Wei Chen & Wei Zhang & Wei-Xing Zhou, 2014. "Stylized facts of price gaps in limit order books: Evidence from Chinese stocks," Papers 1405.1247, arXiv.org.
- Gao-Feng Gu & Xiong Xiong & Wei Zhang & Yong-Jie Zhang & Wei-Xing Zhou, 2014. "Empirical properties of inter-cancellation durations in the Chinese stock market," Papers 1403.3478, arXiv.org.
- Hung-Wen Lin & Jing-Bo Huang & Kun-Ben Lin & Shu-Heng Chen, 2022. "The competitions of time-varying and constant loadings in asset pricing models: empirical evidence and agent-based simulations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(2), pages 577-612, April.
- Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2008.
"Scaling in the distribution of intertrade durations of Chinese stocks,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(23), pages 5818-5825.
- Zhi-Qiang Jiang & Wei Chen & Wei-Xing Zhou, 2008. "Scaling in the distribution of intertrade durations of Chinese stocks," Papers 0804.3431, arXiv.org, revised Apr 2008.
- Damien Challet & Nikita Gourianov, 2018.
"Dynamical regularities of US equities opening and closing auctions,"
Papers
1802.01921, arXiv.org, revised Oct 2018.
- Damien Challet & Nikita Gourianov, 2018. "Dynamical regularities of US equities opening and closing auctions," Post-Print hal-01702726, HAL.
- Ni, Xiao-Hui & Jiang, Zhi-Qiang & Gu, Gao-Feng & Ren, Fei & Chen, Wei & Zhou, Wei-Xing, 2010.
"Scaling and memory in the non-Poisson process of limit order cancelation,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2751-2761.
- Xiao-Hui Ni & Zhi-Qiang Jiang & Gao-Feng Gu & Fei Ren & Wei Chen & Wei-Xing Zhou, 2009. "Scaling and memory in the non-poisson process of limit order cancelation," Papers 0911.0057, arXiv.org.
- Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "Quasi-Centralized Limit Order Books," Papers 1502.00680, arXiv.org, revised Oct 2016.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yongjie Zhang & Wei Chen & Wei-Xing Zhou, 2021.
"An empirical behavioral order-driven model with price limit rules,"
Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-24, December.
- Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou, 2017. "An empirical behavioural order-driven model with price limit rules," Papers 1704.04354, arXiv.org.
- Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
- Katahira, Kei & Chen, Yu & Hashimoto, Gaku & Okuda, Hiroshi, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 503-518.
- Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
- Ni, Xiao-Hui & Jiang, Zhi-Qiang & Gu, Gao-Feng & Ren, Fei & Chen, Wei & Zhou, Wei-Xing, 2010.
"Scaling and memory in the non-Poisson process of limit order cancelation,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2751-2761.
- Xiao-Hui Ni & Zhi-Qiang Jiang & Gao-Feng Gu & Fei Ren & Wei Chen & Wei-Xing Zhou, 2009. "Scaling and memory in the non-poisson process of limit order cancelation," Papers 0911.0057, arXiv.org.
- Kei Katahira & Yu Chen & Gaku Hashimoto & Hiroshi Okuda, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Papers 1902.02040, arXiv.org.
- Kei Katahira & Yu Chen, 2019. "Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game," Papers 1909.03185, arXiv.org.
- Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008.
"Empirical shape function of limit-order books in the Chinese stock market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5182-5188.
- Gao-Feng Gu & Wei Chen & Wei-Xing Zhou, 2008. "Empirical shape function of limit-order books in the Chinese stock market," Papers 0801.3712, arXiv.org.
- Wang, Yougui & Stanley, H.E., 2009. "Statistical approach to partial equilibrium analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1173-1180.
- Ren, F. & Zhang, Y.C., 2008. "Trading model with pair pattern strategies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5523-5534.
- Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
- Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
- Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
- Gao-Feng Gu & Xiong Xiong & Wei Zhang & Yong-Jie Zhang & Wei-Xing Zhou, 2014. "Empirical properties of inter-cancellation durations in the Chinese stock market," Papers 1403.3478, arXiv.org.
- Daniel Fricke & Thomas Lux, 2015.
"The effects of a financial transaction tax in an artificial financial market,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 119-150, April.
- Fricke, Daniel & Lux, Thomas, 2013. "The effects of a financial transaction tax in an artificial financial market," Kiel Working Papers 1868, Kiel Institute for the World Economy (IfW Kiel).
- Wei, J.R. & Huang, J.P. & Hui, P.M., 2013. "An agent-based model of stock markets incorporating momentum investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(12), pages 2728-2735.
- Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
- Torsten Trimborn & Philipp Otte & Simon Cramer & Maximilian Beikirch & Emma Pabich & Martin Frank, 2020. "SABCEMM: A Simulator for Agent-Based Computational Economic Market Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 707-744, February.
- Katahira, Kei & Chen, Yu & Akiyama, Eizo, 2021. "Self-organized Speculation Game for the spontaneous emergence of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
- Alexandru Mandes, 2014. "Order Placement in a Continuous Double Auction Agent Based Model," MAGKS Papers on Economics 201443, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:0712.0912. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.