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The dynamics of the aggressive order during a crisis
We investigate the dynamics of aggressive order in the financial market to further understand volatility. To analyze aggressive order, market orders in the order book are scrutinized. The market orders have different degrees of aggressiveness; therefore, we categorize market orders into four types:...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2020
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7244114/ https://www.ncbi.nlm.nih.gov/pubmed/32442203 http://dx.doi.org/10.1371/journal.pone.0232820 |
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author | Lee, Min-Young Jung, Woo-Sung Oh, Gabjin |
author_facet | Lee, Min-Young Jung, Woo-Sung Oh, Gabjin |
author_sort | Lee, Min-Young |
collection | PubMed |
description | We investigate the dynamics of aggressive order in the financial market to further understand volatility. To analyze aggressive order, market orders in the order book are scrutinized. The market orders have different degrees of aggressiveness; therefore, we categorize market orders into four types: types Zero, One, A, and B, of which type B is the most aggressive. To examine the dynamics and impacts of each type of order, we use both macro- and micro-level approaches. From the macroscopic perspective, the burstiness and memory of type B is highly correlated with volatility. When traders face a financial crisis, they place bursty aggressive orders, and the orders are more predictable than usual. From the microscopic perspective, we additionally focus on the influence of the orders, particularly the price impact and resilience. The aggressive order has a greater impact than others, even when the price change of the aggressive order is smaller. Moreover, the aggressive order delivers more information on price because the aggressive order has a higher price impact than the execution cost. |
format | Online Article Text |
id | pubmed-7244114 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2020 |
publisher | Public Library of Science |
record_format | MEDLINE/PubMed |
spelling | pubmed-72441142020-06-03 The dynamics of the aggressive order during a crisis Lee, Min-Young Jung, Woo-Sung Oh, Gabjin PLoS One Research Article We investigate the dynamics of aggressive order in the financial market to further understand volatility. To analyze aggressive order, market orders in the order book are scrutinized. The market orders have different degrees of aggressiveness; therefore, we categorize market orders into four types: types Zero, One, A, and B, of which type B is the most aggressive. To examine the dynamics and impacts of each type of order, we use both macro- and micro-level approaches. From the macroscopic perspective, the burstiness and memory of type B is highly correlated with volatility. When traders face a financial crisis, they place bursty aggressive orders, and the orders are more predictable than usual. From the microscopic perspective, we additionally focus on the influence of the orders, particularly the price impact and resilience. The aggressive order has a greater impact than others, even when the price change of the aggressive order is smaller. Moreover, the aggressive order delivers more information on price because the aggressive order has a higher price impact than the execution cost. Public Library of Science 2020-05-22 /pmc/articles/PMC7244114/ /pubmed/32442203 http://dx.doi.org/10.1371/journal.pone.0232820 Text en © 2020 Lee et al http://creativecommons.org/licenses/by/4.0/ This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. |
spellingShingle | Research Article Lee, Min-Young Jung, Woo-Sung Oh, Gabjin The dynamics of the aggressive order during a crisis |
title | The dynamics of the aggressive order during a crisis |
title_full | The dynamics of the aggressive order during a crisis |
title_fullStr | The dynamics of the aggressive order during a crisis |
title_full_unstemmed | The dynamics of the aggressive order during a crisis |
title_short | The dynamics of the aggressive order during a crisis |
title_sort | dynamics of the aggressive order during a crisis |
topic | Research Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7244114/ https://www.ncbi.nlm.nih.gov/pubmed/32442203 http://dx.doi.org/10.1371/journal.pone.0232820 |
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