A Stochastic Model for Order Book Dynamics: An Application to Korean Stock Index Futures
نویسندگان
چکیده
This study presents an application of stochastic model for limit order book (LOB) dynamics to Korean Stock Index Futures (KOSPI 200 Futures). Since KOSPI 200 futures market is widely known as one of the most liquid markets in the world, direct application of an existing model is hardly possible. Therefore, we modified an existing model to successfully model and predict the dynamics of extremely liquid KOSPI 200 futures market.
منابع مشابه
Order Imbalance and the Dynamics of Index and Futures Prices
This study examines empirically with complete transaction records of index futures and of the index stocks, as well as the bid/ask price quotes of the latter, the impact of stock market order imbalance on the dynamic behavior of index futures and the underlying cash index. The study purges spurious correlation in the index by using an estimate of the “true” index with highly synchronous and act...
متن کاملA wavelet method for stochastic Volterra integral equations and its application to general stock model
In this article,we present a wavelet method for solving stochastic Volterra integral equations based on Haar wavelets. First, we approximate all functions involved in the problem by Haar Wavelets then, by substituting the obtained approximations in the problem, using the It^{o} integral formula and collocation points then, the main problem changes into a system of linear or nonlinear equation w...
متن کاملTowards a new model of speculative bubbles: nonparametric test with an application to the Tunisian Stock Index
Bubbles in asset prices have fascinated researchers in finance. Identify asset bubbles, by circumstances, on the stock market has been a growing number of research theoretical and empirical. On a theoretical level, it was assumed that the price dynamics reflect irrational behavior of economic agents and, therefore, should be excluded from a deal with the truly rational economic agents Burmeiste...
متن کاملApplication of HS Meta-heuristic Algorithm in Designing a Mathematical Model for Forecasting P/E in the Panel Data Approach
In financial markets such as Tehran Stock Exchange, P/E coefficient, which is one of the most well-known instruments for evaluating stock prices in financial markets, is considered necessary for shareholders, investors, analysts and corporate executives. P/E is used as an important indicator in investment decisions. In this research, harmony search metaheuristic algorithm is used to select opti...
متن کاملAn Alternative Approach To Investigating Lead-lag Relationships Between Stock And Stock Index Futures Markets
In the absence of market frictions, the cost of carry model of stock index futures pricing predicts that returns on the underlying stock index and the associated stock index futures contract will be perfectly contemporaneously correlated. Evidence suggests, however, that this prediction is violated with clear evidence that the stock index futures market leads the stock market. We argue that tra...
متن کامل