Power-law tails in the distribution of order imbalance

Ting Zhang, Gao-Feng Gu, Hai-Chuan Xu, Xiong Xiong, Wei Chen and Wei-Xing Zhou

Physica A: Statistical Mechanics and its Applications, 2017, vol. 483, issue C, 201-208

Abstract: We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of order imbalance are considered based on the order number and the order size. We find that the order imbalance distributions of individual stocks have power-law tails. However, the tail index fluctuates remarkably from stock to stock. We also investigate the distributions of aggregated order imbalance of all stocks at different timescales Δt. We find no clear trend in the tail index with respect Δt. All the analyses suggest that the distributions of order imbalance are asymmetric.

Keywords: Econophysics; Order imbalance; Probability distribution; Power-law tail; Order book (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:483:y:2017:i:c:p:201-208

DOI: 10.1016/j.physa.2017.04.065

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