Article ID Journal Published Year Pages File Type
5069513 Finance Research Letters 2016 6 Pages PDF
Abstract
Some financial market regulators utilize a price limit mechanism. A number of past studies show that the price limit mechanism has a considerable impact on investors' behaviour. The altered mechanism per se, and its impact on investors' behaviour, change the order flow dynamics at price limit hits. We have proposed a model using Hawkes processes to model order arrivals when market dynamics switch to price limit hits. Goodness of fit tests showed that the model appropriately captures order arrival dynamics of intraday data from the Tehran Securities Exchange (TSE), which is a volatile market with narrow banded price limits (±4).
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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