More statistical properties of order books and price impact
Marc Potters (marc.potters@science-finance.fr) and
Jean-Philippe Bouchaud
Additional contact information
Jean-Philippe Bouchaud: Science & Finance, Capital Fund Management
No 210710, Science & Finance (CFM) working paper archive from Science & Finance, Capital Fund Management
Abstract:
We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit order prices, (b) the shape of the average order book, and (c) the typical life time of a limit order as a function of the distance from the best price. We also determine the `price impact' function using French and British stocks, and find a logarithmic, rather than a power-law, dependence of the price response on the volume. The weak time dependence of the response function shows that the impact is, surprisingly, quasi-permanent, and suggests that trading itself is interpreted by the market as new information.
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2002-10
References: Add references at CitEc
Citations: View citations in EconPapers (38)
Published in Physica A 324 (1-2) 133-140 (2003)
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:sfi:sfiwpa:0210710
Access Statistics for this paper
More papers in Science & Finance (CFM) working paper archive from Science & Finance, Capital Fund Management 6 boulevard Haussmann, 75009 Paris, FRANCE. Contact information at EDIRC.
Bibliographic data for series maintained by (econpapers@oru.se).