Correlation of coming limit price with order book in stock markets

Jun-ichi Maskawa

Physica A: Statistical Mechanics and its Applications, 2007, vol. 383, issue 1, 90-95

Abstract: We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock Exchange. As a result, the limit price is broadly distributed around the best price according to a power-law, and it is not randomly drawn from the distribution, but has a strong correlation with the size of cumulative unexecuted limit orders on the price. It was also found that the limit price, on the coarse-grained price scale, tends to gather around the price which has a large size of cumulative unexecuted limit orders.

Keywords: Limit order; Order book; Stock market; Data analysis (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:383:y:2007:i:1:p:90-95

DOI: 10.1016/j.physa.2007.04.091

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