Matches in SemOpenAlex for { <https://semopenalex.org/work/W2950618724> ?p ?o ?g. }
- W2950618724 endingPage "191" @default.
- W2950618724 startingPage "171" @default.
- W2950618724 abstract "In this work, we propose an order book model with herd behavior. The proposed model is built upon two distinct approaches: a recent empirical study of the detailed order book records by Kanazawa et al. [Phys. Rev. Lett. 120, 138301] and financial herd behavior model. Combining these approaches allows us to propose a model that replicates the long-range memory of absolute returns and trading activity. We compare the statistical properties of the model against the empirical statistical properties of the Bitcoin exchange rates and New York stock exchange tickers. We also show that the fracture in the spectral density of the high-frequency absolute return time series might be related to the mechanism of convergence towards the equilibrium price." @default.
- W2950618724 created "2019-06-27" @default.
- W2950618724 creator A5021964474 @default.
- W2950618724 creator A5083134346 @default.
- W2950618724 date "2019-07-01" @default.
- W2950618724 modified "2023-09-29" @default.
- W2950618724 title "Order book model with herd behavior exhibiting long-range memory" @default.
- W2950618724 cites W1493213957 @default.
- W2950618724 cites W1537415400 @default.
- W2950618724 cites W1692666799 @default.
- W2950618724 cites W1968039570 @default.
- W2950618724 cites W1974765950 @default.
- W2950618724 cites W2004814690 @default.
- W2950618724 cites W2018683035 @default.
- W2950618724 cites W2022817538 @default.
- W2950618724 cites W2032634466 @default.
- W2950618724 cites W2055500777 @default.
- W2950618724 cites W2071836524 @default.
- W2950618724 cites W2091164728 @default.
- W2950618724 cites W2098201978 @default.
- W2950618724 cites W2100011707 @default.
- W2950618724 cites W2101950806 @default.
- W2950618724 cites W2120553696 @default.
- W2950618724 cites W2120859246 @default.
- W2950618724 cites W2122960498 @default.
- W2950618724 cites W2126329988 @default.
- W2950618724 cites W2155418451 @default.
- W2950618724 cites W2171217792 @default.
- W2950618724 cites W2192169618 @default.
- W2950618724 cites W2479457348 @default.
- W2950618724 cites W2528931116 @default.
- W2950618724 cites W2750674792 @default.
- W2950618724 cites W2765195368 @default.
- W2950618724 cites W2781963368 @default.
- W2950618724 cites W2786872269 @default.
- W2950618724 cites W2787404178 @default.
- W2950618724 cites W2791577170 @default.
- W2950618724 cites W2794087500 @default.
- W2950618724 cites W2795068807 @default.
- W2950618724 cites W2888669943 @default.
- W2950618724 cites W2908274295 @default.
- W2950618724 cites W2949155582 @default.
- W2950618724 cites W2951492718 @default.
- W2950618724 cites W3099391092 @default.
- W2950618724 cites W3102816229 @default.
- W2950618724 cites W3103182437 @default.
- W2950618724 cites W3105255042 @default.
- W2950618724 cites W3105315269 @default.
- W2950618724 cites W3119577537 @default.
- W2950618724 cites W3121427768 @default.
- W2950618724 cites W3122245267 @default.
- W2950618724 cites W3123025027 @default.
- W2950618724 cites W3124461367 @default.
- W2950618724 cites W3124484033 @default.
- W2950618724 cites W3125113634 @default.
- W2950618724 cites W3125783509 @default.
- W2950618724 cites W3175563218 @default.
- W2950618724 cites W4246756863 @default.
- W2950618724 cites W4300165626 @default.
- W2950618724 cites W4301499593 @default.
- W2950618724 cites W4301657671 @default.
- W2950618724 doi "https://doi.org/10.1016/j.physa.2019.03.059" @default.
- W2950618724 hasPublicationYear "2019" @default.
- W2950618724 type Work @default.
- W2950618724 sameAs 2950618724 @default.
- W2950618724 citedByCount "10" @default.
- W2950618724 countsByYear W29506187242019 @default.
- W2950618724 countsByYear W29506187242020 @default.
- W2950618724 countsByYear W29506187242021 @default.
- W2950618724 crossrefType "journal-article" @default.
- W2950618724 hasAuthorship W2950618724A5021964474 @default.
- W2950618724 hasAuthorship W2950618724A5083134346 @default.
- W2950618724 hasBestOaLocation W29506187242 @default.
- W2950618724 hasConcept C10138342 @default.
- W2950618724 hasConcept C102235558 @default.
- W2950618724 hasConcept C106159729 @default.
- W2950618724 hasConcept C127413603 @default.
- W2950618724 hasConcept C146978453 @default.
- W2950618724 hasConcept C149782125 @default.
- W2950618724 hasConcept C162324750 @default.
- W2950618724 hasConcept C169549615 @default.
- W2950618724 hasConcept C175444787 @default.
- W2950618724 hasConcept C177605951 @default.
- W2950618724 hasConcept C182306322 @default.
- W2950618724 hasConcept C18903297 @default.
- W2950618724 hasConcept C194775826 @default.
- W2950618724 hasConcept C200870193 @default.
- W2950618724 hasConcept C204323151 @default.
- W2950618724 hasConcept C205649164 @default.
- W2950618724 hasConcept C26021514 @default.
- W2950618724 hasConcept C26584437 @default.
- W2950618724 hasConcept C2778348673 @default.
- W2950618724 hasConcept C2779309563 @default.
- W2950618724 hasConcept C2986394398 @default.
- W2950618724 hasConcept C41008148 @default.
- W2950618724 hasConcept C86803240 @default.
- W2950618724 hasConcept C91602232 @default.
- W2950618724 hasConcept C97137747 @default.