Jean-Philippe Bouchaud (Science & Finance, Capital Fund Management, CEA Saclay;) Yuval Gefen (Weizmann Institute) Marc Potters Matthieu Wyart (CEA Saclay;)
Abstract
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.
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Length: Date of creation: Jul 2003 Date of revision: Publication status: published in Quantitative Finance 4 (April 2004) 176-190 Handle: RePEc:sfi:sfiwpa:0307332
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