英文标题：
《Order book model with herd behavior exhibiting long-range memory》
---
作者：
Aleksejus Kononovicius, Julius Ruseckas
---
最新提交年份：
2019
---
英文摘要：
  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.
---
中文摘要：
在这项工作中，我们提出了一个具有羊群行为的订单簿模型。提出的模型基于两种不同的方法：金泽等人最近对详细订单记录的实证研究【Phys.Rev.Lett.120，138301】和金融羊群行为模型。结合这些方法，我们可以提出一个复制绝对回报和交易活动长期记忆的模型。我们将该模型的统计特性与比特币汇率和纽约证券交易所股票的经验统计特性进行了比较。我们还表明，高频绝对收益时间序列谱密度的破裂可能与向均衡价格收敛的机制有关。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
--

---
PDF下载：
-->