Empirical shape function of limit-order books in the Chinese stock market

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dc.creatorGu, Gao-Feng
dc.creatorChen, Wei
dc.creatorZhou, Wei-Xing
dc.date2008-01-24
dc.date.accessioned2026-07-07T12:05:37Z
dc.date.available2026-07-07T12:05:37Z
dc.descriptionWe have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the averaged LOB shape has a maximum away from the same best price for both buy and sell LOBs. The LOB shape function has nice exponential form in the right tail. The buy LOB is found to be abnormally thicker for the price levels close to the same best although there are much more sell orders on the book. We also find that the LOB shape functions for both buy and sell sides have periodic peaks with a period of five. The 1-min averaged volumes at fixed tick level follow lognormal distributions, except for the left tails which display power-law behaviors, and exhibit long memory. Academic implications of our empirical results are also discussed briefly.
dc.description10 Elsart page including 4 figures
dc.identifierhttps://arxiv.org/abs/0801.3712
dc.identifierhttp://arxiv.org/abs/0801.3712
dc.identifierPhysica A 387 (21), 5182-5188 (2008)
dc.identifierdoi:10.1016/j.physa.2008.05.008
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208426
dc.subjectTrading and Market Microstructure
dc.subjectData Analysis, Statistics and Probability
dc.subjectPhysics and Society
dc.titleEmpirical shape function of limit-order books in the Chinese stock market
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