Regularities and irregularities in order flow data

Martin Theissen, Sebastian M. Krause () and Thomas Guhr
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Martin Theissen: Faculty of Physics, University of Duisburg-Essen
Sebastian M. Krause: Faculty of Physics, University of Duisburg-Essen
Thomas Guhr: Faculty of Physics, University of Duisburg-Essen

The European Physical Journal B: Condensed Matter and Complex Systems, 2017, vol. 90, issue 11, 1-9

Abstract: Abstract We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the order book. This includes limit orders being placed outside of the spread, inside the spread and (effective) market orders. Based on the pairwise comparison of the order flow of different stocks, we perform a clustering of stocks into groups with similar behavior. This is useful to assess systemic aspects of stock price dynamics. We find that limit order placement inside the spread is strongly determined by the dynamics of the spread size. Most orders, however, arrive outside of the spread. While for some stocks order placement on or next to the quotes is dominating, deeper price levels are more important for other stocks. As market orders are usually adjusted to the quote volume, the impact of market orders depends on the order book structure, which we find to be quite diverse among the analyzed stocks as a result of the way limit order placement takes place.

Keywords: Statistical; and; Nonlinear; Physics (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1140/epjb/e2017-80087-6

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