TY - JOUR
T1 - Order-splitting and long-memory in an order-driven market
AU - Yamamoto, R.
AU - Lebaron, B.
N1 - Copyright:
Copyright 2012 Elsevier B.V., All rights reserved.
PY - 2010/1
Y1 - 2010/1
N2 - Recent empirical research has documented long-memories of trading volume, volatility, and order-signs in stock markets. We conjecture that traders' order-splitting is related to these empirical features. This study conducts simulations on an order-driven economy where agents split their orders into small pieces and execute piece by piece to reduce price impact. We demonstrate that we can replicate the long-memories in our order-splitting economy and conclude that order-splitting can be a possible cause for these empirical properties.
AB - Recent empirical research has documented long-memories of trading volume, volatility, and order-signs in stock markets. We conjecture that traders' order-splitting is related to these empirical features. This study conducts simulations on an order-driven economy where agents split their orders into small pieces and execute piece by piece to reduce price impact. We demonstrate that we can replicate the long-memories in our order-splitting economy and conclude that order-splitting can be a possible cause for these empirical properties.
UR - http://www.scopus.com/inward/record.url?scp=76749168863&partnerID=8YFLogxK
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U2 - 10.1140/epjb/e2009-00392-y
DO - 10.1140/epjb/e2009-00392-y
M3 - Article
AN - SCOPUS:76749168863
SN - 1434-6028
VL - 73
SP - 51
EP - 57
JO - European Physical Journal B
JF - European Physical Journal B
IS - 1
ER -