By incorporating behavioral sentiment to a model of limit order market, we show that behavioral sentiment not only helps to replicate most of the stylized facts simultaneously in limit order markets, but also plays a unique role in explaining these stylized facts that cannot be explained by...

This article explores nonlinearities in the response of speculators' trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition...