Herding to a side of Order Book Balance--论文代写范文精选

订单显示的时候,他和交易员如何提交他们的买入/卖出订单，包括订单的价格。大多数分析经济学，是为了试图理解价格形成动态,一个有趣的和独特的东西，我们发现大多数股票交易在雅加达证券交易所，显示在订单不平衡。下面的essay代写范文继续进行阐述。

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 modifications to explain the herding pattern of traders through the order book. 
Keywords: econophysics, order book imbalance, Indonesian stock market

Introduction 
There have been a lot of variations of trading system in stock markets all over the world regarding the order submissions, the matching processes, including the way investors/traders access the order book. Order book shows when, who, and how the traders submit their buy/sell orders including the size and the price level of the orders. Most analyses in econophysics are trying to understand the price formation just by looking at the price dynamics while there are also a lot of interests to see microstructure of the pre-matching process of buy/sell orders by approaching the queueing orders in the order book. 

An interesting and unique thing we found in most stocks traded in Jakarta Stock Exchange is that in most cases, a lot of submitted orders are placed too far from price level of the best orders (best-bid and best-ask) that showed an imbalance in the order book. Technically speaking, the orders are placed too far in the uncompetitive region which is almost impossible to be matched during the trading day [3]. However, an effect of this submissions in return can influence other traders observing the order book and bring some kind of psychological image about the imbalance [4]. We know from the principle of economics that excess demand brings about the rise of price and excess supply brings the downward movement. 

From here, we can clearly see the fact that balance of supply and demand in the order book play an important role for traders’ decision making, of course, together with the emerging (historical) price dynamics. In the perspective of macro-micro description level of a stock market, we can draw the diagram as showed by figure 1. In other words, the herding behavior can occur from the information acquired from the order book as well as the price dynamics. Interestingly, we can see from the figure that interaction of trading agents emerges the statistical properties of the order book as well as the price formation in the macro layer. In return, the price formation and the dynamics of the order book will also be put into account by traders making their decision to be submitted.

Discussions 
The result of the simulation is showed in figure 5. It shows the leptokurtic distribution of return and the autocorrelation of absolute price return. In advance, our focus in the simulation is to see the imbalance order book in rounds of our simulation. We do this by comparing the balance order book visualization with and without the direct access of agents to the order book. The order book balance as yielded in our simulation can be seen in figure 6. As we have assumed before, we get different result between the simulation with and without agent’s ability to access the order book. Since in our simulation an agent has opportunity to access the order book, she can manage her order placement by evaluating in short term the balance of the order book. 

Thus, a highly fundamental agent, for example, can possibly place a buy order to fulfil her portfolio but as she observed the imbalance of the order book to the ask-side, she also submit a buy order with smaller quantity. We assume the frequent imbalance of the order book in some stocks traded in JSX caused by such strategies of trading. In return, there is also a possible strategy for a highly capitalized agent to try to move the price as she placed a big order not in a competitive price level in order to influence other traders. However, this can only be done in not-so-liquid stocks since in a more liquid stock, the dynamics of the order book and price fluctuations are relatively so fast and hard to observe even in a very short horizon.

Concluding Remarks 
We have shown the frequent imbalance in the order book of some stocks traded in JSX and how this fact related to the liquidity of the stocks. The imbalance in the order book can give psychological effect to traders and influence their trading strategies. To see this clearly we do computer simulation by comparing the simulation with and without the ability of agents evaluating the dynamics of the order book. Relating this fact to the liquidity of the stocks, it could be a kind of additional strategy for agents on placement of their orders for short term (e.g.: intra-day) trading in the illiquid stocks whose price is rarely moved. However, this can be harmful for the stocks since the respective stock price will be easily driven by bunch of investors. A research for this has been conducted in JSX and reported in [10].

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