High-frequency trading model for a complex trading hierarchy

@inproceedings{Podobnik2012HighfrequencyTM,
  title={High-frequency trading model for a complex trading hierarchy},
  author={Boris Podobnik and Duan Wang and Harry Eugene Stanley},
  year={2012}
}
Financial markets exhibit a complex hierarchy among different processes, e.g. a trading time marks the initiation of a trade, and a trade triggers a price change. High-frequency trading data arrive at random times. By combining stochastic and agent-based approaches, we develop a model for trading time, trading volume, and price changes. We generate intertrade time (time between successive trades) Dti, and the number of shares traded q(Dti) as two independent but power-law autocorrelated… CONTINUE READING

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