Correlation of coming limit price with order book in stock markets
arXiv:physics/0702029 · doi:10.1016/j.physa.2007.04.091
Abstract
We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock Exchange. As a result, the limit price is broadly distributed around the best price according to a power-law, and it isn't randomly drawn from the distribution, but has a strong correlation with the size of cumulative unexecuted limit orders on the price. It was also found that the limit price, on the coarse-grained price scale, tends to gather around the price which has a large size of cumulative unexecuted limit orders.
arXiv comment8 pages, 7 figures
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Cited by in corpus (6)
- On the probability distribution of stock returns in the Mike-Farmer model
- Empirical shape function of limit-order books in the Chinese stock market
- Empirical regularities of order placement in the Chinese stock market
- Scaling and memory in the non-poisson process of limit order cancelation
- Empirical properties of inter-cancellation durations in the Chinese stock market
- Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction