Empirical regularities of order placement in the Chinese stock market

Gao-Feng Gu, Wei Chen and Wei-Xing Zhou

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 13, 3173-3182

Abstract: Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The distributions of relative logarithmic prices against reference prices in the three time periods are qualitatively the same with quantitative discrepancies. The order placement behavior is asymmetric between buyers and sellers and between the inside-the-book orders and outside-the-book orders. In addition, the conditional distributions of relative prices in the continuous auction are independent of the bid–ask spread and volatility. These findings are crucial to build an empirical behavioral microscopic model based on order flows for Chinese stocks.

Keywords: Econophysics; Order placement; Probability distribution; Chinese stock market; Order book and order flow (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (12)

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Working Paper: Empirical regularities of order placement in the Chinese stock market (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:13:p:3173-3182

DOI: 10.1016/j.physa.2008.01.114

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