Price fluctuations from the order book perspective - Empirical facts and a simple model

Physica A: Statistical Mechanics and its Applications

Volumn 299, Issue 1-2, 2001, Pages 234-246

  Maslov, Sergei ^a   Mills, Mark ^b  

^a BROOKHAVEN NATIONAL LABORATORY   (United States)

^b NONE   (United States)

Author keywords

High frequency data; Limit order; Order book; Price fluctuation

Indexed keywords

MARKETING; STATISTICS;

PRICE FLUCTUATIONS;

INDUSTRIAL ECONOMICS;

EID: 0035471810     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(01)00301-6     Document Type: Conference Paper

References (18)

1. Inverse cubic law for the probability distribution of stock price variations
2. The distribution of extremal foreign exchange rate returns in extremely large data sets
3. Scaling in stock market data: Stable laws and beyond
4. The statistical properties of the volatility of price fluctuations
5. Modeling market mechanism with evolutionary games
6. Simple model of a limit order-driven market
7. An empirical analysis of the limit order book and the order flow in the Paris Bourse
8. Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange
9. Statistical properties of share volume traded in financial markets
10. Toward a theory of marginally efficient markets