Long-memory in an order-driven market

Long - Memory in an Order - Driven Market

This paper introduces an order-driven market with heterogeneous investors, who submit limit or market orders according to their own trading rules. The trading rules are repeatedly updated via simple learning and adaptation of the investors. We analyze markets with and without learning and adaptation. The simulation results show that our model with learning and adaptation successfully replicates...

The Impact of Imitation on Long-memory in an Order Driven Market

Recent research has documented that learning and evolution are capable of generating many well known features in financial times series. We extend the results of LeBaron & Yamamoto (2007) to explore the impact of varying amounts of imitation and agent learning in a simple order driven market. We show that in our framework, imitation is critical to the generation of long memory persistence in ma...

Order driven market pdf

The Ecology of an Order-Driven Market System

A securities market is order driven 1~the limit orders of some public participants establish the prices at which others can trade by market order at any time when the market is open. The paper considers how, without market maker intermediation, a population of public investors separates into limit order and market order traders, and how the order driven market achieves an ecological balance bet...

Long memory in the Finnish stock market

The presence of long memory is tested using Finnish stock market return data. The data set has daily returns on several indices and individual companies, and long memory tests are computed both for the returns and return volatilities of the series. It is found that statistically significant long memory can be found in approximately 35% of the return series, and practically all volatility series...