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Order flow dynamics around extreme price changes on an emerging stock market
Order flow dynamics price changes emerging stock market
2010/4/27
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday pri...
The market behavior and performance of different strategy evaluation schemes
different strategy evaluation schemes market behavior
2010/4/27
We observe the performances of three strategy evaluation schemes, which are the history-dependent wealth game, the trend-opposing minority game, and the trend-following majority game in a stock market...
A new space-time model for volatility clustering in the financial market
space-time model volatility clustering financial market
2010/4/27
A new space-time model for interacting agents on the financial market is presented. It is a combination of the Curie-Weiss model and a space-time model introduced by J\"arpe 2005. Properties of the mo...