In this work, we propose an order book model with herd behavior. The proposed model is built upon two distinct approaches: a recent empirical study of the detailed order book records by Kanazawa et al. [Phys. Rev. Lett. 120, 138301] as well as financial herd behavior model. Combining these approaches allows us to create a more plausible financial market model, which is also capable to replicate the long-range memory phenomenon of the absolute return and the trading activity as well as the other stylized facts . We compare the statistical properties of the model against the empirical statistical properties of  Bitcoin exchange rates as well as New York stock exchange tickers. We also show that the fracture in the spectral density of the high frequency absolute return time series might be related to the mechanism of convergence towards the equilibrium price.
In this work, we propose an order book model with herd behavior. The proposed model is built upon two distinct approaches: a recent empirical study of the detailed order book records by Kanazawa et al. [Phys. Rev. Lett. 120, 138301] and financial herd behavior model. Combining these approaches allows us to create a more plausible financial market model, which is also capable to replicate the long-range memory phenomenon of the absolute return and the trading activity . We compare the statistical properties of the model against the empirical statistical properties of the Bitcoin exchange rates and New York stock exchange tickers. We also show that the fracture in the spectral density of the high-frequency absolute return time series might be related to the mechanism of convergence towards the equilibrium price.
R
as well as
and
D
as well as the other stylized facts
A
the
R
as well as
and
R
high frequency
high-frequency