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More statistical properties of order books and price impact

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Modified on 2011/08/13 23:53 by Administrator Categorized as Articles

Marc Potters, Jean-Philippe Bouchaud

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.

Published by arXiv.org on 10/31/2002

More statistical properties of order books and price impact