| bibtype |
J -
Journal Article
|
| ARLID |
0366294 |
| utime |
20240103195741.7 |
| mtime |
20111108235959.9 |
| title
(primary) (eng) |
Information, Sentiment, and Price in a Fast Order-Driven Market |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0366293 |
| ISSN |
0972-916X |
| title
|
IUP Journal of Financial Risk Management |
| volume_id |
8 |
| volume |
3 (2011) |
| page_num |
43-75 |
|
| keyword |
limit order |
| keyword |
market order |
| keyword |
high frequency trading |
| keyword |
price dicovery |
| keyword |
sentiment |
| author
(primary) |
| ARLID |
cav_un_auth*0101079 |
| name1 |
Derviz |
| name2 |
Alexis |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
An order-driven market is modeled in which many traders with heterogeneous private values and information submit limit and market orders simultaneously. Order execution is partially random. There may be a bias in the traders’ prior beliefs (“market sentiment”). In this environment, although market buys and sells depend monotonically on the degree of bullish sentiment, market order flows are in a non-monotonous relationship with the proportion of high private value traders (bulls). Additionally, sentiment has a stronger effect on volume and net direction of trades leading to a given central price, than the actual distribution of private values. |
| reportyear |
2012 |
| RIV |
AH |
| num_of_auth |
1 |
| permalink |
http://hdl.handle.net/11104/0201342 |
| arlyear |
2011 |
| mrcbU63 |
cav_un_epca*0366293 IUP Journal of Financial Risk Management 0972-916X Roč. 8 č. 3 2011 43 75 |
|