An empirical behavioral order‑driven model with price limit rules  

作　　者：Gao‑Feng Gu Xiong Xiong Hai‑Chuan Xu Wei Zhang Yongjie Zhang Wei Chen Wei‑Xing Zhou 

机构地区：[1]School of Business,East China University of Science and Technology,Shanghai,China [2]Research Center for Econophysics,East China University of Science and Technology,Shanghai,China [3]College of Management and Economics,Tianjin University,Tianjin,China [4]China Center for Social Computing and Analytics,Tianjin University,Tianjin,China [5]Shenzhen Stock Exchange,Shenzhen,China [6]School of Mathematics,East China University of Science and Technology,Shanghai,China

出　　处：《Financial Innovation》2021年第1期1733-1756,共24页金融创新（英文）

基　　金：This work was supported by the National Natural Science Foundation of China(Grants Nos.U1811462,71671066,and 71532009);the Fundamental Research Funds for the Central Universities.

摘　　要：We propose an empirical behavioral order-driven(EBOD)model with price limit rules,which consists of an order placement process and an order cancellation process.All the ingredients of the model are determined based on the empirical microscopic regularities in the order flows of stocks traded on the Shenzhen Stock Exchange.The model can reproduce the main stylized facts in real markets.Computational experiments unveil that asymmetric setting of price limits will cause the stock price to diverge exponentially when the up price limit is higher than the down price limit and to vanish vice versa.We also find that asymmetric price limits have little influence on the correlation structure of the return series and the volatility series,but cause remarkable changes in the average returns and the tail exponents of returns.Our EBOD model provides a suitable computational experiment platform for academics,market participants,and policy makers.

关 键 词：ECONOPHYSICS Order-driven model Agent-based model Asymmetric price limit Stylized facts Limit order book 

分 类 号：F42[经济管理—产业经济]