英文标题：
《An empirical behavioural order-driven model with price limit rules》
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作者：
Gao-Feng Gu and Xiong Xiong and Hai-Chuan Xu and Wei Zhang and
Yong-Jie Zhang and Wei Chen and Wei-Xing Zhou
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最新提交年份：
2017
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英文摘要：
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of relative price. The order placement process is determined by several empirical regularities: the long memory in order directions, the long memory in relative prices, the asymmetric distribution of relative prices, and the nonlinear dependence of the average order size and its standard deviation on the relative price. Order cancellation follows a Poisson process with the arrival rate determined from real data and the cancelled order is determined according to the empirical distributions of relative price level and relative position at the same price level. All these ingredients of the model are derived based on the empirical microscopic regularities in the order flows of stocks on the Shenzhen Stock Exchange. The model is able to produce the main stylized facts in real markets. Computational experiments uncover that asymmetric setting of price limits will cause the stock price diverging exponentially when the up price limit is higher than the down price limit and vanishing vice versus. We also find that asymmetric price limits have influences on stylized facts. Our EBOD model provides a suitable computational experiment platform for academics, market participants and policy makers.
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中文摘要：
我们开发了一个经验行为订单驱动（EBOD）模型，该模型由订单下达过程和订单取消过程组成。在相对价格的定义中引入了价格限制规则。订单安排过程由几个经验规律决定：订单方向的长记忆、相对价格的长记忆、相对价格的不对称分布以及平均订单大小及其标准差对相对价格的非线性依赖。订单取消遵循泊松过程，到货率根据实际数据确定，取消的订单根据相同价格水平下的相对价格水平和相对位置的经验分布确定。模型的所有这些成分都是基于深圳证券交易所股票订单流动的经验微观规律推导出来的。该模型能够在真实市场中产生主要的程式化事实。计算实验表明，当涨跌停板高于涨跌停板时，涨跌停板的不对称设置会导致股价指数发散，反之亦然。我们还发现，不对称价格限制对程式化事实有影响。我们的EBOD模型为学者、市场参与者和决策者提供了一个合适的计算实验平台。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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