More statistical properties of order books and price impact

Details More statistical properties of order books and price impact More statistical properties of order books and price impact

2002-10-31

arxiv.org/abs/cond-mat/0210710v1

Physics

Condensed Matter

Proceedings of the Bali conference of Econophysics, to appear in Physica A

Scientific paper

10.1016/S0378-4371(02)01896-4

We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit order prices, (b) the shape of the average order book, and (c) the typical life time of a limit order as a function of the distance from the best price. We also determine the `price impact' function using French and British stocks, and find a logarithmic, rather than a power-law, dependence of the price response on the volume. The weak time dependence of the response function shows that the impact is, surprisingly, quasi-permanent, and suggests that trading itself is interpreted by the market as new information.

Affiliated with

Also associated with

No associations

Rating

More statistical properties of order books and price impact 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 More statistical properties of order books and price impact, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and More statistical properties of order books and price impact will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-578017