英文标题：
《Power-law tails in the distribution of order imbalance》
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作者：
T. Zhang (1), G.-F. Gu (1), H.-C. Xu (1), X. Xiong (2), W. Chen (3)
and W.-X. Zhou (1) ((1) ECUST (2) TJU (3) SZSE)
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最新提交年份：
2017
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英文摘要：
We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of order imbalance are considered based on the order number and the order size. We find that the order imbalance distributions of individual stocks have power-law tails. However, the tail index fluctuates remarkably from stock to stock. We also investigate the distributions of aggregated order imbalance of all stocks at different timescales $\\Delta{t}$. We find no clear trend in the tail index with respect $\\Delta{t}$. All the analyses suggest that the distributions of order imbalance are asymmetric.
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中文摘要：
我们利用深圳证券交易所43只中国股票的订单流数据，研究了订单不平衡的概率分布。基于订单数量和订单规模，考虑了订单不平衡的两种定义。我们发现，个股的阶次不平衡分布具有幂律尾。然而，不同股票的尾部指数波动显著。我们还研究了所有股票在不同时间尺度$\\ Delta{t}下的聚集顺序不平衡分布。我们发现关于$\\ Delta{t}$的尾部指数没有明显的趋势。所有分析表明，订单不平衡的分布是不对称的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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