A behavioural model of investor sentiment in limit order markets

DOI10.1080/14697688.2016.1184756zbMath1402.91676OpenAlexW2226803864MaRDI QIDQ4555059

Xue-Zhong He, Lei Shi, Carl Chiarella, Lijian Wei

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/110556

zbMATH Keywords

stylized factsnoise tradinglimit order marketbehavioural sentiment

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Behavioral heterogeneity and financial crisis: the role of sentiment

Cites Work

• Asset prices, traders' behavior and market design
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• A simulation analysis of the microstructure of double auction markets*
• Fundamentalists clashing over the book: a study of order-driven stock markets
• Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models

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