More statistical properties of order books and price impact
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 bes...
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| Vydáno v: | Physica A Ročník 324; číslo 1; s. 133 - 140 |
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| Hlavní autoři: | , |
| Médium: | Journal Article |
| Jazyk: | angličtina |
| Vydáno: |
Elsevier B.V
01.06.2003
Elsevier |
| Témata: | |
| ISSN: | 0378-4371, 1873-2119, 0378-4371 |
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| Abstract | 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. |
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| AbstractList | 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. |
| Author | Potters, Marc Bouchaud, Jean-Philippe |
| Author_xml | – sequence: 1 givenname: Marc surname: Potters fullname: Potters, Marc organization: Science & Finance, CFM, 109-111 rue Victor Hugo 92 353 Levallois Cedex, France – sequence: 2 givenname: Jean-Philippe surname: Bouchaud fullname: Bouchaud, Jean-Philippe email: bouchau@drecam.saclay.cea.fr organization: Science & Finance, CFM, 109-111 rue Victor Hugo 92 353 Levallois Cedex, France |
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| Snippet | We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit... |
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| Title | More statistical properties of order books and price impact |
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