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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Bibliographic Details
Published in:	Physica A Vol. 324; no. 1; pp. 133 - 140
Main Authors:	Potters, Marc, Bouchaud, Jean-Philippe
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.06.2003 Elsevier
Subjects:	Condensed Matter Other Physics
ISSN:	0378-4371, 1873-2119, 0378-4371
Online Access:	Get full text
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Summary:	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.
ISSN:	0378-4371 1873-2119 0378-4371
DOI:	10.1016/S0378-4371(02)01896-4