Price Dynamics in an Order-Driven Market with Bayesian Learning
In this paper, we have developed a model of limit order book with learning mechanism and investigated its price dynamics. In this model, continuous Bayesian learning is introduced to describe the dynamics of self-adjusting learning mechanism of agents, which can result in some important stylized fac...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wiley
2018-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2018/8254068 |
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| _version_ | 1849405125457608704 |
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| author | Jiahua Wang Hongliang Zhu Dongxin Li |
| author_facet | Jiahua Wang Hongliang Zhu Dongxin Li |
| author_sort | Jiahua Wang |
| collection | DOAJ |
| description | In this paper, we have developed a model of limit order book with learning mechanism and investigated its price dynamics. In this model, continuous Bayesian learning is introduced to describe the dynamics of self-adjusting learning mechanism of agents, which can result in some important stylized facts of limit order markets. This study also provides some behavioral explanations for these well-known stylized facts that are commonly observed in the financial markets. |
| format | Article |
| id | doaj-art-46fed944659f4edc8e4ae8ec382eb340 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2018-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-46fed944659f4edc8e4ae8ec382eb3402025-08-20T03:36:45ZengWileyComplexity1076-27871099-05262018-01-01201810.1155/2018/82540688254068Price Dynamics in an Order-Driven Market with Bayesian LearningJiahua Wang0Hongliang Zhu1Dongxin Li2School of Management and Engineering, Nanjing University, Nanjing, Jiangsu 210093, ChinaSchool of Management and Engineering, Nanjing University, Nanjing, Jiangsu 210093, ChinaSchool of Finance, Nanjing University of Finance and Economics, Nanjing, Jiangsu 210046, ChinaIn this paper, we have developed a model of limit order book with learning mechanism and investigated its price dynamics. In this model, continuous Bayesian learning is introduced to describe the dynamics of self-adjusting learning mechanism of agents, which can result in some important stylized facts of limit order markets. This study also provides some behavioral explanations for these well-known stylized facts that are commonly observed in the financial markets.http://dx.doi.org/10.1155/2018/8254068 |
| spellingShingle | Jiahua Wang Hongliang Zhu Dongxin Li Price Dynamics in an Order-Driven Market with Bayesian Learning Complexity |
| title | Price Dynamics in an Order-Driven Market with Bayesian Learning |
| title_full | Price Dynamics in an Order-Driven Market with Bayesian Learning |
| title_fullStr | Price Dynamics in an Order-Driven Market with Bayesian Learning |
| title_full_unstemmed | Price Dynamics in an Order-Driven Market with Bayesian Learning |
| title_short | Price Dynamics in an Order-Driven Market with Bayesian Learning |
| title_sort | price dynamics in an order driven market with bayesian learning |
| url | http://dx.doi.org/10.1155/2018/8254068 |
| work_keys_str_mv | AT jiahuawang pricedynamicsinanorderdrivenmarketwithbayesianlearning AT hongliangzhu pricedynamicsinanorderdrivenmarketwithbayesianlearning AT dongxinli pricedynamicsinanorderdrivenmarketwithbayesianlearning |