Skip to main content
Article thumbnail
Location of Repository

Herding to A Side of Order Book Balance

By Hokky Situngkir and Yohanes Surya

Abstract

In the growing econophysics, it is quite rare that the presented analyses approach the interesting properties of order book. However, a lot of data are available in the order book, and analysis on this object will bring us to further understanding of the market. We analyze some order book of stocks traded in Jakarta Stock Exchange and see interesting properties there by looking at the balance of the order book. We also build a model based on the work of Chiarella and Iori [1] with some modi¯cations to explain the herding pattern of traders through the order book

Topics: Statistical Models, Dynamical Systems, Complexity Theory
Year: 2005
OAI identifier: oai:cogprints.org:4677
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://cogprints.org/4677/1/20... (external link)
  • http://cogprints.org/4677/ (external link)
  • Suggested articles

    Citations

    1. (2003). A Steady-state model of the Continuous Double Action”. Quantitative Finance
    2. (2000). Herd Behavior and Aggregate Fluctuations in Financial Markets.
    3. (2005). Membandingkan Continuous dan Continuous-Interval Trading System Dalam Perspektif Likuiditas: Simulasi Mikrostruktur.
    4. (2005). On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree. Working Paper WPH2005 Bandung Fe Institute.
    5. (2005). Pola Transaksi dalam Kaitannya dengan Herding Behavior.
    6. (2001). Price Fluctuation from the Order Book Perspective - empirical facts and a simple model”.
    7. (2003). Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia”. Prosiding Simposium Himpunan Fisika XX.
    8. (2004). The Impact of Heterogeneous Trading

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.