Quantitative statistical analysis of order-splitting behavior of individual trading accounts in the Japanese stock market over nine years
Econophysics aims to understand the macroscopic behavior of financial markets from the underlying microscopic decision-making dynamics. In particular, the order splitting of large metaorders is one of the most important trading strategies in this literature: while traders have large potential metaor...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
American Physical Society
2023-11-01
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| Series: | Physical Review Research |
| Online Access: | http://doi.org/10.1103/PhysRevResearch.5.043131 |