2008/03/06 by F. Ren, Fei Ren, B. Zheng +5
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Data Analysis #FOS: Economics and business #FOS: Physical sciences #Financial Risk and Volatility Modeling #Physics and Society (physics.soc-ph) #Statistics and Probability (physics.data-an) #Theoretical and Computational Physics #Trading and Market Microstructure (q-fin.TR) #physics.data-an #physics.soc-ph #q-fin.TR
paper · pdf · doi:10.48550/arxiv.0803.0844
7 pages, 4 figures
openalex publication_date 2008/03/06 · arxiv created 2009/11/03 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
A dynamic herding model with interactions of trading volumes is introduced. At time t, an agent trades with a probability, which depends on the ratio of the total trading volume at time t-1 to its own trading volume at its last trade. The price return is determined by the volume imbalance and number of trades. The model successfully reproduces the power-law distributions of the trading volume, number of trades and price return, and their relations. Moreover, the generated time series are long-range correlated. We demonstrate that the results are rather robust, and do not depend on the particular form of the trading probability.