Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets

Kylie-Anne Richards, Gareth W. Peters and William Dunsmuir

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Abstract: This paper poses a few fundamental questions regarding the attributes of the volume profile of a Limit Order Books stochastic structure by taking into consideration aspects of intraday and interday statistical features, the impact of different exchange features and the impact of market participants in different asset sectors. This paper aims to address the following questions: 1. Is there statistical evidence that heavy-tailed sub-exponential volume profiles occur at different levels of the Limit Order Book on the bid and ask and if so does this happen on intra or interday time scales ? 2.In futures exchanges, are heavy tail features exchange (CBOT, CME, EUREX, SGX and COMEX) or asset class (government bonds, equities and precious metals) dependent and do they happen on ultra-high (

Date: 2012-10, Revised 2015-04
New Economics Papers: this item is included in nep-mst
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