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0.3 0.3
250
0.2 0.2
200
0.1 0.1
150
0 0
0.1 0.35 0.75 1.15 1.4 0.1 0.35 0.75 1.15 1.4 0.1 0.35 0.75 1.15 1.4
Lagged Return Lagged Return Lagged Return
Figure 7: Comparative statics for WEM. The top left picture plots the sell market ( ) and sell
limit (- -) choice probabilities as a function of the absolute value of changes in the stock s lagged
return. The top middle picture plots the buy market ( ) and buy limit (- -) choice probabilities as
a function of the absolute value of changes in the stock s lagged return. The top right picture plots
the expected time to the next order submission as a function of the absolute value of changes in the
stock s lagged return. The middle and the bottom row of pictures also plot the choice probabilities
and time to the next order submission. In the middle row of pictures the valuation distribution
and the arrival rate of traders are held constant at their mean values and in the bottom row of
pictures the threshold valuations are held constant at their mean values.
51
Sell Choice Prob.
Buy Choice Prob.
Time to next order
Sell Choice Prob.
Buy Choice Prob.
Time to next order
Sell Choice Prob.
Buy Choice Prob.
Time to next order
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