Impatient traders' strategies and price formation in order driven markets

Qiang Zhang; Shan Cun Liu; Qian Hui Lin; Wan Hua Qiu

Impatient traders' strategies and price formation in order driven markets

Qiang Zhang^*
, Shan Cun Liu
, Qian Hui Lin
, Wan Hua Qiu

^*Corresponding author for this work

School of Economics and Management

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper, we analyze the effects of patient traders behaviors on price formation and describe the evolution of price formation based on trading strategies of patient traders and information risk. We find that the number of patient traders has negative exponential influence on the spread and testify the result by selecting the high-frequency trading data of 817 securities as our sample. We also testify the process of price formation. Besides, one formula about expect value of asset in EKOP model is corrected.

Original language	English
Pages (from-to)	2195-2203
Number of pages	9
Journal	Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice
Volume	33
Issue number	9
State	Published - Sep 2013

Keywords

Informed trader
Order-driven market
Patient trader

Cite this

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title = "Impatient traders' strategies and price formation in order driven markets",

abstract = "In this paper, we analyze the effects of patient traders behaviors on price formation and describe the evolution of price formation based on trading strategies of patient traders and information risk. We find that the number of patient traders has negative exponential influence on the spread and testify the result by selecting the high-frequency trading data of 817 securities as our sample. We also testify the process of price formation. Besides, one formula about expect value of asset in EKOP model is corrected.",

keywords = "Informed trader, Order-driven market, Patient trader",

author = "Qiang Zhang and Liu, \{Shan Cun\} and Lin, \{Qian Hui\} and Qiu, \{Wan Hua\}",

year = "2013",

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T1 - Impatient traders' strategies and price formation in order driven markets

AU - Zhang, Qiang

AU - Liu, Shan Cun

AU - Lin, Qian Hui

AU - Qiu, Wan Hua

PY - 2013/9

Y1 - 2013/9

N2 - In this paper, we analyze the effects of patient traders behaviors on price formation and describe the evolution of price formation based on trading strategies of patient traders and information risk. We find that the number of patient traders has negative exponential influence on the spread and testify the result by selecting the high-frequency trading data of 817 securities as our sample. We also testify the process of price formation. Besides, one formula about expect value of asset in EKOP model is corrected.

AB - In this paper, we analyze the effects of patient traders behaviors on price formation and describe the evolution of price formation based on trading strategies of patient traders and information risk. We find that the number of patient traders has negative exponential influence on the spread and testify the result by selecting the high-frequency trading data of 817 securities as our sample. We also testify the process of price formation. Besides, one formula about expect value of asset in EKOP model is corrected.

KW - Informed trader

KW - Order-driven market

KW - Patient trader

UR - https://www.scopus.com/pages/publications/84885902288

M3 - 文章

AN - SCOPUS:84885902288

SN - 1000-6788

VL - 33

SP - 2195

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JO - Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice

JF - Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice

IS - 9

ER -

Impatient traders' strategies and price formation in order driven markets

Abstract

Keywords

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