Correlation of coming limit price with order book in stock markets

Jun-ichi Maskawa

Papers from arXiv.org

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 isn't 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.

Date: 2007-02
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0702029

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