Information, Sentiment, and Price in a Fast Order-Driven Market

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F11%3A00366294" target="_blank" >RIV/67985556:_____/11:00366294 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Information, Sentiment, and Price in a Fast Order-Driven Market

Original language description

An order-driven market is modeled in which many traders with heterogeneous private values and information submit limit and market orders simultaneously. Order execution is partially random. There may be a bias in the traders? prior beliefs (?market sentiment). In this environment, although market buys and sells depend monotonically on the degree of bullish sentiment, market order flows are in a non-monotonous relationship with the proportion of high private value traders (bulls). Additionally, sentimenthas a stronger effect on volume and net direction of trades leading to a given central price, than the actual distribution of private values.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

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Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2011

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

IUP Journal of Financial Risk Management

ISSN

0972-916X

e-ISSN

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Volume of the periodical

8

Issue of the periodical within the volume

3

Country of publishing house

IN - INDIA

Number of pages

33

Pages from-to

43-75

UT code for WoS article

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EID of the result in the Scopus database

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