DocumentCode
2970689
Title
Price Recovery after Soared and Slump
Author
Liu, Kuangmin ; Zhu, Hongliang ; Shi, Yunqing
Author_Institution
Sch. of Manage. & Eng., Nanjing Univ., Nanjing, China
fYear
2011
fDate
12-14 Aug. 2011
Firstpage
1
Lastpage
4
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science (MASS), 2011 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-6579-8
Type
conf
DOI
10.1109/ICMSS.2011.5998570
Filename
5998570
Link To Document