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Bibliografie

Journal Article

Information, Sentiment, and Price in a Fast Order-Driven Market

Derviz Alexis

: IUP Journal of Financial Risk Management vol.8, 3 (2011), p. 43-75

: CEZ:AV0Z10750506

: limit order, market order, high frequency trading, price dicovery, sentiment

: http://library.utia.cas.cz/separaty/2011/E/derviz-information, sentiment, and price in a fast order-driven market.pdf

(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.

: AH

07.01.2019 - 08:39