{"paper":{"title":"Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.CP","q-fin.ST"],"primary_cat":"q-fin.TR","authors_text":"Katsuhiro Nishinari, Shingo Ichiki","submitted_at":"2014-11-09T10:02:43Z","abstract_excerpt":"In this study, we present a simple stochastic order-book model for investors' swarm behaviors seen in the continuous double auction mechanism, which is employed by major global exchanges. Our study shows a characteristic called \"fat tail\" is seen in the data obtained from our model that incorporates the investors' swarm behaviors. Our model captures two swarm behaviors: one is investors' behavior to follow a trend in the historical price movement, and another is investors' behavior to send orders that contradict a trend in the historical price movement. In order to capture the features of infl"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1411.2215","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}