DYNAMIC ORDER SUBMISSION AND HERDING BEHAVIOR IN ELECTRONIC TRADING
<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>I analyze the dynamic trading behavior of market participants by developing a bivariate modeling framework for describing the arrival process of buy and sell orders in a limit order book. The model contains an extended autoregressive conditional duration model with a flexible generalized Beta distribution to explain the duration process, combined with a dynamic logit model to capture the traders' order submission strategy. I find that the state of the order book as well as the speed of the order arrival have a significant influence on the order placement, inducing temporal asymmetric market movements. Copyright (c) 2010 The Southern Finance Association and the Southwestern Finance Association.
Year of publication: |
2010
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Authors: | Ng, Wing Lon |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 33.2010, 1, p. 27-43
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Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
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