Herding to a Side of Order Book Balance

11 Pages Posted: 2 Jan 2006

See all articles by Hokky Situngkir

Hokky Situngkir

Bandung Fe Institute; Center for Complexity in Surya University

Yohanes Surya

Surya Research Intl.

Date Written: 2005

Abstract

In the growing econophysics, it is quite rare that the presented analyses approach the interesting properties of order book. However, a lot of data are available in the order book, and analysis on this object will bring us to further understanding of the market. We analyze some order book of stocks traded in Jakarta Stock Exchange and see interesting properties there by looking at the balance of the order book. We also build a model based on the work of Chiarella and Iori [1] with some modifications to explain the herding pattern of traders through the order book.

Keywords: econophysics, order book imbalance, Indonesian stock market.

Suggested Citation

Situngkir, Hokky and Surya, Yohanes, Herding to a Side of Order Book Balance (2005). Available at SSRN: https://ssrn.com/abstract=873025 or http://dx.doi.org/10.2139/ssrn.873025

Hokky Situngkir (Contact Author)

Bandung Fe Institute ( email )

Sarimadu Permai 175
Bandung, Jawa Barat 40164
Indonesia
+622282025586 (Phone)

HOME PAGE: http://www.bandungfe.net

Center for Complexity in Surya University

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Tangerang, Banten 15810
Indonesia

Yohanes Surya

Surya Research Intl. ( email )

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