限价订单价格差距的程式化事实：来自中国的证据

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英文标题：
《Stylized facts of price gaps in limit order books: Evidence from Chinese
  stocks》
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作者：
Gao-Feng Gu (ECUST), Xiong Xiong (TJU), Yong-Jie Zhang (TJU), Wei Chen
  (SZSE), Wei Zhang (TJU), Wei-Xing Zhou (ECUST)
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最新提交年份：
2014
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英文摘要：
  Price gap, defined as the logarithmic price difference between the first two occupied price levels on the same side of a limit order book (LOB), is a key determinant of market depth, which is one of the dimensions of liquidity. However, the properties of price gaps have not been thoroughly studied due to the less availability of ultrahigh frequency data. In the paper, we rebuild the LOB dynamics based on the order flow data of 26 A-share stocks traded on the Shenzhen Stock Exchange in 2003. Three key empirical statistical properties of price gaps are investigated. We find that the distribution of price gaps has a power-law tail for all stocks with an average tail exponent close to 3.2. Applying modern statistical methods, we confirm that the gap time series are long-range correlated and possess multifractal nature. These three features vary from stock to stock and are not universal. Furthermore, we also unveil buy-sell asymmetry phenomena in the properties of price gaps on the buy and sell sides of the LOBs for individual stocks. These findings deepen our understanding of the dynamics of liquidity of common stocks and can be used to calibrate agent-based computational financial models.
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中文摘要：
价差是指限价指令簿（LOB）同一侧前两个占用价格水平之间的对数价差，是市场深度的关键决定因素，也是流动性的一个维度。然而，由于超高频数据的可用性较低，价格差距的性质尚未得到彻底研究。本文以2003年深圳证券交易所26只A股股票的订单流数据为基础，对LOB动态进行了重构。研究了价格差距的三个关键实证统计特性。我们发现，所有股票的价差分布都具有幂律尾部，平均尾部指数接近3.2。应用现代统计方法，我们证实了间隙时间序列是长期相关的，具有多重分形性质。这三个特性因库存而异，并不具有普遍性。此外，我们还揭示了单只股票LOB买卖双方价差性质中的买卖不对称现象。这些发现加深了我们对普通股流动性动力学的理解，并可用于校准基于代理的计算金融模型。
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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：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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