Response Of Double-Auction Markets To Instantaneous Selling-Buying Signals With Stochastic Bid-Ask Spread

Statistical properties of order-driven double-auction markets with Bid-Ask spread are investigated through the dynamical quantities such as response function. The authors first attempt to utilize the so-called Madhavan-Richardson-Roomans model (MRR for short) to simulate the stochastic process of the price-change in empirical data sets (say, EUR/JPY or USD/JPY exchange rates) in which the Bid-Ask spread fluctuates in time. They find that the MRR theory apparently fails to simulate so much as the qualitative behaviour ('Non-monotonic' behaviour) of the response function R(l) (l denotes the difference of times at which the response function is evaluated) calculated from the data.

Provided by: Hokkaido University Topic: Big Data Date Added: Mar 2011 Format: PDF

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