MARKET DEPTH AND PRICE DYNAMICS: A NOTE

Market Depth and Price Dynamics: a Note

This note explores the consequences of nonlinear price impact functions on price dynamics within the chartist-fundamentalist framework. Price impact functions may be nonlinear with respect to trading volume. As indicated by recent empirical studies, a given transaction may cause a large (small) price change if market depth is low (high). Simulations reveal that such a relationship may create en...

A Correction Note for Price Dynamics in a Markovian Limit Order Market

Market Dynamics And Stock Price Volatility

This paper presents a possible explanation for some of the empirical properties of asset returns within a heterogeneous-agents framework. The model turns out, even if we assume the input fundamental value follows an simple Gaussian distribution lacking both fat tails and volatility dependence, these features can show up in the time series of asset returns. In this model, the profit comparison a...

Futures Market Depth: Revealed vs. Perceived Price Order Imbalances

Market Structure and Price Adjustment in the Iranian Tea Market