More statistical properties of order books and price impact. (English) Zbl 1072.91561

Potters, Marc; Bouchaud, Jean-Philippe

Physica A 324, No. 1-2, 133-140 (2003).

Summary: We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit order prices, (b) the shape of the average order book, and (c) the typical life time of a limit order as a function of the distance from the best price. We also determine the ‘price impact’ function using French and British stocks, and find a logarithmic, rather than a power-law, dependence of the price response on the volume. The weak time dependence of the response function shows that the impact is, surprisingly, quasi-permanent, and suggests that trading itself is interpreted by the market as new information.

MSC:

91B24	Microeconomic theory (price theory and economic markets)
91B82	Statistical methods; economic indices and measures

Keywords:

incoming limitorder prices; limit-order life time; price impact function

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