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摘要翻译：
我们研究了流动性股票在经历了较大的日内价格变化后，限价指令书的动态。在这些数据中，我们发现了一些微观指标，如波动率、买卖价差、买卖不平衡、排队限价单的数量、下单和取消限价单的活跃度（数量和数量）等都有很大的变化，这些量的松弛通常非常缓慢，可以用指数约0.4$的幂律来描述。为了更好地理解实证结果，我们引入了一个数值模型。我们发现，在订单流的零智能沉积模型下，经验结果可以定性地再现。这表明缓慢的放松可能不是代理人策略行为的结果。研究经验和数字指数之间的差异有助于我们更好地识别战略行为在这些现象中的作用。
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英文标题：
《Studies of the limit order book around large price changes》
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作者：
Bence Toth, Janos Kertesz, J. Doyne Farmer
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask imbalance, the number of queuing limit orders, the activity (number and volume) of limit orders placed and canceled, etc. The relaxation of the quantities is generally very slow that can be described by a power law of exponent $\approx0.4$. We introduce a numerical model in order to understand the empirical results better. We find that with a zero intelligence deposition model of the order flow the empirical results can be reproduced qualitatively. This suggests that the slow relaxations might not be results of agents' strategic behaviour. Studying the difference between the exponents found empirically and numerically helps us to better identify the role of strategic behaviour in the phenomena.
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PDF链接：
https://arxiv.org/pdf/0901.0495
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