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

0366294 - ÚTIA 2012 RIV IN eng J - Článek v odborném periodiku
Derviz, Alexis
Information, Sentiment, and Price in a Fast Order-Driven Market.
IUP Journal of Financial Risk Management. Roč. 8, č. 3 (2011), s. 43-75. ISSN 0972-916X
Výzkumný záměr: CEZ:AV0Z10750506
Klíčová slova: limit order * market order * high frequency trading * price dicovery * sentiment
Kód oboru RIV: AH - Ekonomie
http://library.utia.cas.cz/separaty/2011/E/derviz-information, sentiment, and price in a fast order-driven market.pdf

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.
Trvalý link: http://hdl.handle.net/11104/0201342