Empirical regularities of order placement in the Chinese stock market

Abstract

Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The distributions of relative logarithmic prices against reference prices in the three time periods are qualitatively the same with quantitative discrepancies. The order placement behavior is asymmetric between buyers and sellers and between the inside-the-book orders and outside-the-book orders. In addition, the conditional distributions of relative prices in the continuous auction are independent of the bid-ask spread and volatility. These findings are crucial to build an empirical behavioral microscopic model based on order flows for Chinese stocks.

15 Elsart page including 1 table and 5 figures

References in corpus (4)

• Empirical distributions of Chinese stock returns at different microscopic timescales
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Cited by in corpus (7)

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• Empirical shape function of limit-order books in the Chinese stock market
• Scaling and Memory Effect in Volatility Return Interval of the Chinese Stock Market
• Empirical regularities of opening call auction in Chinese stock market
• Empirical properties of inter-cancellation durations in the Chinese stock market
• Two Price Regimes in Limit Order Books: Liquidity Cushion and Fragmented Distant Field