A behavioural model of investor sentiment in limit order markets
在限价指令市场模型中引入行为情绪，发现其不仅能同时复现多数典型事实，还能解释噪声交易无法解释的现象，如收益厚尾、交易量长记忆等，表明行为情绪是市场典型事实的重要驱动力。
By incorporating behavioural sentiment in a model of a limit order market, we show that behavioural sentiment not only helps to replicate most of the stylized facts in limit order markets simultaneously, but it also plays a unique role in explaining those stylized facts that cannot be explained by noise trading, such as fat tails in the return distribution, long memory in the trading volume, an increasing and non-linear relationship between trade imbalance and mid-price returns, as well as the diagonal effect, or event clustering, in order submission types. The results show that behavioural sentiment is an important driving force behind many of the well-documented stylized facts in limit order markets.