dorsal/arxiv
View SchemaCorrelation of coming limit price with order book in stock markets
| Authors | Jun-ichi Maskawa |
|---|---|
| Categories | |
| ArXiv ID | physics/0702029 |
| URL | https://arxiv.org/abs/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.
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"abstract": "We examine the correlation of the limit price with the order book, when a\nlimit order comes. We analyzed the Rebuild Order Book of Stock Exchange\nElectronic Trading Service, which is the centralized order book market of\nLondon Stock Exchange. As a result, the limit price is broadly distributed\naround the best price according to a power-law, and it isn\u0027t randomly drawn\nfrom the distribution, but has a strong correlation with the size of cumulative\nunexecuted limit orders on the price. It was also found that the limit price,\non the coarse-grained price scale, tends to gather around the price which has a\nlarge size of cumulative unexecuted limit orders.",
"arxiv_id": "physics/0702029",
"authors": [
"Jun-ichi Maskawa"
],
"categories": [
"physics.data-an",
"physics.soc-ph",
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"q-fin.TR"
],
"doi": "10.1016/j.physa.2007.04.091",
"title": "Correlation of coming limit price with order book in stock markets",
"url": "https://arxiv.org/abs/physics/0702029"
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