Price Recovery after Soared and Slump

摘要

Order driven market, is the main trading mechanism of the most securities markets in the world, including China's securities market. We study the phenomenon of the stock market by computational experiment in limit order model. The typical phenomenon, volatility clustering and fat tail, can be reproduced by our model. Further, after adding the trend of investors and considering various parameters, we found that market price can recover by itself after soared and slump. And momentum investors will reduce the probability of the occurrence of price recovery.