supported in part by the National Natural Science Foundation of China(NSFC)under grant numbers 71901027;the China Postdoctoral Science Foundation 2019M660509;the Science and Technology Innovation Program of Beijing Forestry Unlversity(BLX201829);the National Natural Science Foundation of China(NSFC)under Grant Nos.71661167009 and 71711530714;NSFC/Research Grants Council under Grant No.3-RAA7.
In this paper,we consider the strategic interaction between the normal and sharp traders in a dynamic limit-order security market and its impact on the Chinese security market at different market volatility levels.We ...