Studies of the limit order book around large price changes

Details Studies of the limit order book around large price changes Studies of the limit order book around large price changes

2009-01-05

arxiv.org/abs/0901.0495v2

Eur. Phys. J. B 71, 499-510 (2009)

Economy

Quantitative Finance

Trading and Market Microstructure

19 pages, 7 figures

Scientific paper

10.1140/epjb/e2009-00297-9

We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask imbalance, the number of queuing limit orders, the activity (number and volume) of limit orders placed and canceled, etc. The relaxation of the quantities is generally very slow that can be described by a power law of exponent $\approx0.4$. We introduce a numerical model in order to understand the empirical results better. We find that with a zero intelligence deposition model of the order flow the empirical results can be reproduced qualitatively. This suggests that the slow relaxations might not be results of agents' strategic behaviour. Studying the difference between the exponents found empirically and numerically helps us to better identify the role of strategic behaviour in the phenomena.

Affiliated with

Also associated with

No associations

Rating

Studies of the limit order book around large price changes 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 Studies of the limit order book around large price changes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Studies of the limit order book around large price changes will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-35052