| dc.contributor | 國貿系 | |
| dc.creator (作者) | Yamamoto, Ryuichi;Lebaron, B. | |
| dc.creator (作者) | 山本竜市 | zh_TW |
| dc.date (日期) | 2010-01 | |
| dc.date.accessioned | 29-Jun-2015 17:12:47 (UTC+8) | - |
| dc.date.available | 29-Jun-2015 17:12:47 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-Jun-2015 17:12:47 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/76092 | - |
| dc.description.abstract (摘要) | 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. | |
| dc.format.extent | 381798 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | European Physical Journal B, 73(1), 51-57 | |
| dc.subject (關鍵詞) | Empirical properties; Empirical research; Long-memory; Price impacts; Stock market; Trading volumes; Commerce | |
| dc.title (題名) | Order-splitting and long-memory in an order-driven market | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1140/epjb/e2009-00392-y | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1140/epjb/e2009-00392-y | |
