Investor Sentiment in an Artificial Limit Order Market

Table 3

Market quality measures with BSV and noise trading.

	Volatility	Spread	Volume	Da5	Db5
BSV	1.84 [0.23]	2.11 [0.73]	34.38[10.21]	78.35[16.96]	122.36[43.31]
BSV-OR	3.01[0.55]	2.24[0.64]	56.59[14.94]	75.33[16.06]	107.00[28.03]
Noise	5.33[0.46]	4.19[0.25]	94.83[7.49]	72.00[9.00]	87.25[15.00]
Noise-OR	5.35[0.42]	4.13[0.24]	95.91[7.02]	72.72[8.43]	89.54[9.44]

Unconditional means are denoted by BSV and noise, respectively. Conditional means during overreaction periods is denoted by BSV-OR and noise-OR, respectively. Conditional and unconditional means are significantly different at 1% level. The value in the square brackets is the variance of 30 simulations.