Stock Order Action Analysis from Full Board Information in Stock Market

DOI IR (HANDLE)

Bibliographic Information

Other Title
  • 株式市場のフル板情報からの株注文行動の分析

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Description

The board information is a table which contains bid and ask order information for each company in the stock market. The length of the board information was limited to 16 price ranges, but a new trading system, called "Arrowhead" by Tokyo Stock Exchange, started in 2010 and provides a full range of the board information to all investors. Since this new board information might involve a lot of interesting records of the investor's trading, this paper tries to analyze them in detail from three viewpoints, suchas data types, comparison methods, and comparison targets. First, correlation between order counts and order prices are analyzed. This analysis also analyzed correlation between order counts and minute-based order timings. Next, correlation between order timings and stock price-change timings are analyzed. Furthermore, states of the boards are clustered by k-means clustering method to estimate future stock order action. This analysis also clusters the number of orders to examine transition between clusters. Last, movements of market are examined by stock price and bias of bid and ask order. Through various analyses, this paper shows typical order actions in market from several perspectives.

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Details 詳細情報について

  • CRID
    1390853649760741888
  • NII Article ID
    120005400090
  • NII Book ID
    AA12222297
  • DOI
    10.15002/00009582
  • HANDLE
    10114/8808
  • ISSN
    18810667
  • Text Lang
    ja
  • Article Type
    departmental bulletin paper
  • Data Source
    • JaLC
    • IRDB
    • CiNii Articles
  • Abstract License Flag
    Allowed

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