Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market

Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market

Contenido principal del artículo

Javier Sandoval


The following work aims to study the empirical properties of the limit-order books (LOB) of the USD/COP spot market. The article is organized as follows: The first section introduces important concepts and definitions. The second section characterizes limit-order book markets. The third section presents the dataset. The fourth and fifth sections depict the statistical properties of the limit-order book. The last section presents relevant conclusions.

Palabras clave:


Los datos de descargas todavía no están disponibles.

Detalles del artículo

Referencias (VER)

Andersen, T. G. and Bollerslev, T. (1997). Intraday Periodicity and Volatility Persistence in Financial Markets. Journal of Empirical Finance, 4(23):115-158.

Andersen, T. G. and Bollerslev, T. (1998). Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. Journal of Finance, 53(1):219-265.

Biais, B.; Hillion, P. and Spatt, C. (1995). An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse. Journal of Finance, 50(5):1655-89.

Bouchaud, J.-P.; Farmer, J. D. and Lillo, F. (2008). How Markets Slowly Digest Changes in Supply and Demand. Quantitative Finance Papers 0809.0822, arXiv.org.

Bouchaud, J.-P.; Mezard, M. and Potters, M. (2002). Statistical Properties of Stock Order Books: Empirical Results and Models. Science & Finance (cfm) working paper archive 0203511, Science & Finance, Capital Fund Management.

Brooks, C.; Hinich, M. J. and Patterson, D. M.(2003). Intra-day Patterns in the Returns, Bid-ask Spreads, and Trading Volume of Stocks Traded on the New York Stock Exchange. ICMA Centre Discussion Papers in Finance icma-dp2003-14, Henley Business School, Reading University.

Challet, D. and Stinchcombe, R. (2001). Analyzing and Modelling 1+1d Markets. Quantitative Finance Papers cond-mat/0106114, arXiv.org.

Dorogovtsev, S.; Mendes, J. and Oliveira, J. (2006). Frequency of Occurrence of Numbers in the World Wide Web. Physica A: Statistical Mechanics and its Applications, 360(2):548 - 556.

Eisler, Z.; Kertesz, J. and Lillo, F. (2007). The Limit Order Book on Different Time Scales. Quantitative Finance Papers 0705.4023, arXiv.org.

Farmer, J. D.; Gillemot, L.; Lillo, F.; Mike, S. and Sen, A.(2003). What Really CausesLarge Price Changes? Quantitative Finance Papers condmat/0312703, arXiv.org.

Gideon, S. (2001). Limit Orders and Volatility in a Hybrid Market: The Island Ecn. Working paper fin-01-025, NYU.

Gu, G.-F.; Chen, W. and Zhou, W.-X. (2008). Empirical Shape Function of Limit-Order Books in the Chinese Stock Market. Physica, (387):5182- 5188.

Kiymaz, H. and Berument, H. (2003). The Day of the Week Effect on Stock Market Volatility and Volume: International Evidence. Review of Financial Economics,12(4):363-380.

Maslov, S. and Mills, M. (2001). Price Fluctuations from the Order Book Perspective -Empirical Facts and a Simple Model. Quantitative Finance Papers cond-mat/0102518,arXiv.org.

Ranaldo, A. (2004). Order Aggressiveness in Limit Order Book Markets. Journal of Financial Markets, 7(1):53-74.

Tian, G. and Guo, M.(2007). Interday and Intraday Volatility: Additional Evidence from the Shanghai Stock Exchange. Review of Quantitative Finance and Accounting, 28(3):287-306.

Weber, P. and Rosenow, B. (2004). Large Stock Price Changes: Volume or Liquidity?

Weber, P. and Rosenow, B. (2005). Order Book Approach to Price Impact. Quant. Finance,(5):357-364.

Citado por