An empirical behavioral model of liquidity and volatility
We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are validated against real data. Our empirical studies of order fl...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2007
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