An empirical behavioral order-driven model with price limit rules

We develop an empirical behavioural order-driven (EBOD) model, which consists of order placement process and cancellation process. Price limit rules are introduced in the definition relative price. The is determined by several regularities: long memory directions, prices, asymmetric distribution nonlinear dependence average size its standard deviation on Order follows a Poisson with arrival rate from real data cancelled according to distributions price level position at same level. All these ingredients model derived based microscopic regularities flows stocks Shenzhen Stock Exchange. able produce main stylized facts markets. Computational experiments uncover that setting limits will cause stock diverging exponentially when up higher than down vanishing vice versus. also find have influences facts. Our EBOD provides suitable computational experiment platform for academics, market participants policy makers.