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More statistical properties of order books and price impact

Physica A: Statistical Mechanics and its Applications, no. 1 (2003): 133-140

引用313|浏览11
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摘要

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 im...更多

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