The power of patience: a behavioural regularity in limit-order placement

DOI10.1088/1469-7688/2/5/308zbMath1405.91773arXivcond-mat/0206280OpenAlexW2104450676MaRDI QIDQ4646802

Ilija I. Zovko, J. Doyne Farmer

Publication date: 14 January 2019

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0206280

zbMATH Keywords

time seriesautocorrelation functionlimit-order placement regularity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Related Items (10)

Modeling high-frequency non-homogeneous order flows by compound Cox processes ⋮ An analysis of price impact function in order-driven markets ⋮ Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes ⋮ Heavy tailed distributions in closing auctions ⋮ What really causes large price changes? ⋮ Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach ⋮ Non-constant rates and over-diffusive prices in a simple model of limit order markets ⋮ Statistical theory of the continuous double auction ⋮ The impact of heterogeneous trading rules on the limit order book and order flows ⋮ Simple stochastic order-book model of swarm behavior in continuous double auction

Cites Work

• Testing for nonlinearity in time series: the method of surrogate data
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Statistical properties of stock order books: empirical results and models

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