Regensburg 2019 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 5: Financial Markets and Risk Management II

SOE 5.2: Vortrag

Montag, 1. April 2019, 15:30–16:00, H17

Order book model with herd behavior and long-range memory — •Aleksejus Kononovicius and Julius Ruseckas — Institute of Theoretical Physics and Astronomy, Vilnius University, Lithuania

Earlier we have proposed a financial ABM, which is capable of reproducing the stylized facts of absolute return [1] as well as the exact PDF and PSD of absolute return [2]. Price in our approach, similarly to other contemporary approaches, was included indirectly by using Walrasian scenario. Yet we can introduce the price directly by considering how the same agents would behave in an order book scenario. To introduce order book dynamics into our model we have took heavy inspiration from an empirically motivated order book model proposed by Kanazawa et al. [3]. The description of the full model is available on arXiv [4].

[1] A. Kononovicius, V. Gontis, Physica A 391: 1309-1314 (2012). doi: 10.1016/j.physa.2011.08.061. arXiv: 1106.2685 [q-fin.ST].

[2] V. Gontis, A. Kononovicius, PLoS ONE 9 (7): e102201 (2014). doi: 10.1371/journal.pone.0102201. arXiv: 1403.1574 [q-fin.ST].

[3] K. Kanazawa et al., PRL 120: 138301 (2018). doi: 10.1103/PhysRevLett.120.138301. arXiv:1703.06739 [q-fin.TR].

[4] A. Kononovicius, J. Ruseckas, under review. arXiv: 1809.02772 [q-fin.ST].