In this study, we present a simple stochastic order-book model for investors'swarm behaviors seen in the continuous double auction mechanism, which isemployed by major global exchanges. Our study shows a characteristic called"fat tail" is seen in the data obtained from our model that incorporates theinvestors' swarm behaviors. Our model captures two swarm behaviors: one isinvestors' behavior to follow a trend in the historical price movement, andanother is investors' behavior to send orders that contradict a trend in thehistorical price movement. In order to capture the features of influence by theswarm behaviors, from price data derived from our simulations using thesemodels, we analyzed the price movement range, that is, how much the price ismoved when it is continuously moved in a single direction. Depending on thetype of swarm behavior, we saw a difference in the cumulative frequencydistribution of this price movement range. In particular, for the model ofinvestors who followed a trend in the historical price movement, we saw thepower law in the tail of the cumulative frequency distribution of this pricemovement range. In addition, we analyzed the shape of the tail of thecumulative frequency distribution. The result demonstrated that one of thereasons the trend following of price occurs is that orders temporarily swarm onthe order book in accordance with past price trends.
展开▼
