Herding to a Side of Order Book Balance

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.