More statistical properties of order books and price impact

Marc Potters and Jean-Philippe Bouchaud
Additional contact information
Marc Potters: Science & Finance, Capital Fund Management
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
View list of references

Published in Physica A 324 (1-2) 133-140 (2003)

Downloads: (external link)
http://www.cfm.fr/papers/0210710.pdf (application/pdf)

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: http://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
Address: 6 boulevard Haussmann, 75009 Paris, FRANCE
Contact information at EDIRC.
Series data maintained by Marc Potters ().