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
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Sandoval, J. 2012. Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market. ODEON. 7 (mar. 2012).
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Mar 12, 2012
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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.
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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.
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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.
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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.
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.