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Herding to A Side of Order Book Balance

Situngkir, Hokky and Surya, Yohanes (2005) Herding to A Side of Order Book Balance. [Departmental Technical Report]

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Abstract

In the growing econophysics, it is quite rare that the presented analyses approach the interesting properties of order book. However, a lot of data are available in the order book, and analysis on this object will bring us to further understanding of the market. We analyze some order book of stocks traded in Jakarta Stock Exchange and see interesting properties there by looking at the balance of the order book. We also build a model based on the work of Chiarella and Iori [1] with some modi¯cations to explain the herding pattern of traders through the order book.

Item Type:Departmental Technical Report
Keywords:econophysics, order book imbalance, Indonesian stock market.
Subjects:Computer Science > Statistical Models
Computer Science > Dynamical Systems
Computer Science > Complexity Theory
ID Code:4677
Deposited By: Situngkir, Mr Hokky
Deposited On:06 Jan 2006
Last Modified:11 Mar 2011 08:56

References in Article

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Chiarella, C. and Iori, G. (2004). "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows." Research Paper Series 152, Quantitative Finance Research Centre, University of Technology, Sydney.

Cont, R. and Bouchaud, J. (2000). "Herd Behavior and Aggregate Fluctuations in Financial Markets. Macroeconomic Dynamics 4:170-96

Luckock, H. (2003). "A Steady-state model of the Continuous Double Action". Quantitative Finance 3:385-404.

Maslov, S. and Mills, M. (2001). "Price Fluctuation from the Order Book Perspective - empirical facts and a simple model". Physica A 299:234-246.

Smith, E ., Farmer, J. D., Gillemot, L., dan Krishnamurthy, S. (2003). "Statistical Theory of the Continuous Double Action". Quantitative Finance 3: 481-514. Institute of Physics Publishing.

Situngkir, H. and Surya, Y. (2003). "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia". Prosiding Simposium Himpunan Fisika XX. Pre-print: arxiv: cond-mat/0403465.

Situngkir, H. and Surya, Y. (2004). Statistical Facts of Arti¯cial Stock Market. Pre-print: arXiv:cond-mat/0408358.

Situngkir, H. and Surya, Y. (2005a). On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree. Working Paper WPH2005 Bandung Fe Institute. URL: http://www.bandungfe.net/wp2005/2005h.pdf

Situngkir, H., Hariadi, Y. and Surya, Y. (2005b). Membandingkan Continuous dan Continuous-Interval Trading System Dalam Perspektif Likuiditas: Simulasi Mikrostruktur. Research report in the cooperation between SRI and BEJ in the period February-April 2005.

Situngkir, H., Hariadi, Y. and Surya, Y. (2005c). Pola Transaksi dalam Kaitannya dengan Herding Behavior. Research report in the cooperation between SRI and BEJ in the period June-December 2005.

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