Počet záznamů: 1
Information, Sentiment, and Price in a Fast Order-Driven Market
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SYSNO ASEP 0366294 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Ostatní články Název Information, Sentiment, and Price in a Fast Order-Driven Market Tvůrce(i) Derviz, Alexis (UTIA-B) RID, ORCID Celkový počet autorů 1 Zdroj.dok. IUP Journal of Financial Risk Management - ISSN 0972-916X
Roč. 8, č. 3 (2011), s. 43-75Poč.str. 33 s. Jazyk dok. eng - angličtina Země vyd. IN - Indie Klíč. slova limit order ; market order ; high frequency trading ; price dicovery ; sentiment Vědní obor RIV AH - Ekonomie CEZ AV0Z10750506 - UTIA-B (2005-2011) Anotace 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. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2012
Počet záznamů: 1