Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2001-02-28
Physica A 299, 234-246 (2001).
Physics
Condensed Matter
Statistical Mechanics
To appear in proceedings of the NATO Advanced Research Workshop on Application of Physics in Economic Modelling, Prague 2001.
Scientific paper
10.1016/S0378-4371(01)00301-6
Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law tails with an exponent 1+mu_{market}=2.4 \pm 0.1. The distribution of limit order sizes was found to be consistent with a power law with an exponent close to 2. A somewhat better fit to this distribution was obtained by using a log-normal distribution with an effective power law exponent equal to 2 in the middle of the observed range. The depth of the order book measured as a price impact of a hypothetical large market order was observed to be a non-linear function of its size. A large imbalance in the number of limit orders placed at bid and ask sides of the book was shown to lead to a short term deterministic price change, which is in accord with the law of supply and demand.
Maslov Sergei
Mills Mark
No associations
LandOfFree
Price fluctuations from the order book perspective - empirical facts and a simple model does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Price fluctuations from the order book perspective - empirical facts and a simple model, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Price fluctuations from the order book perspective - empirical facts and a simple model will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-118608