Title :
Price Recovery after Soared and Slump
Author :
Liu, Kuangmin ; Zhu, Hongliang ; Shi, Yunqing
Author_Institution :
Sch. of Manage. & Eng., Nanjing Univ., Nanjing, China
Abstract :
Order driven market, is the main trading mechanism of the most securities markets in the world, including China´s securities market. We study the phenomenon of the stock market by computational experiment in limit order model. The typical phenomenon, volatility clustering and fat tail, can be reproduced by our model. Further, after adding the trend of investors and considering various parameters, we found that market price can recover by itself after soared and slump. And momentum investors will reduce the probability of the occurrence of price recovery.
Keywords :
investment; pattern clustering; pricing; probability; stock markets; China securities market; fat tail; investor trend; limit order model; market price; momentum investors; order driven market; price recovery occurrence probability; stock market; trading mechanism; volatility clustering; Analytical models; Data models; Finance; Fluctuations; Mathematical model; Security; Stock markets;
Conference_Titel :
Management and Service Science (MASS), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6579-8
DOI :
10.1109/ICMSS.2011.5998570
