High-frequency_Limit order book

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Price fluctuations from the order book perspective - empirical facts and a simple model

AbstractStatistical properties of an order book and the eect they have on price dynamicswere studied using the high-frequency NASDAQ Level II data. It was observed thatthe size distribution of marketable orders (transaction sizes) has power law tailswith an exponent . The distribution of limit order sizes was                                    

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found to be consistent with a power law with an exponent close to 2. A somewhatbetter t to this distribution was obtained by using a log-normal distribution withan eective power law exponent equal to 2 in the middle of the observed range. Thedepth of the order book measured as a price impact of a hypothetical large marketorder was observed to be a non-linear function of its size. A large imbalance in thenumber of limit orders placed at bid and ask sides of the book was shown to lead toa short term deterministic price change, which is in accord with the law of supplyand demand.

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关键词：Frequency limit Order Book freq close ect law simple price

very interesting. thanks very much

15 页Price Fluctuations from the order book perspective - empirical facts and a simple model.
by Sergei Maslov

谢谢分享，学习中。。。。。。。

very good

Empirical Analysis of Limit Order
Markets

We provide empirical restrictions of a model of optimal order submissions in a limit order market.A trader’s optimal order submission depends on the trader’s valuation for the asset and the trade-offsbetween order prices, execution probabilities and picking off risks. The optimal order submission strategyis a monotone function of a trader’s valuation for the asset. We test the monotonicity restriction in a sampleof order submissions and their realized outcomes from the Stockholm Stock Exchange. We do not rejectthe monotonicity restriction for buy orders or sell orders considered separately, but reject the monotonicityrestriction for buy and sell orders considered jointly

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看看。。。
谢谢楼主的分享

thx very much...