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

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 21, 2008, Pages 5182-5188

  Gu, Gao Feng ^a   Chen, Wei ^b   Zhou, Wei Xing ^a,c  

^a EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^b Shenzhen Stock Exchange   (China)

^c EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

Author keywords

Continuous double action; Econophysics; Limit order book shape; Microstructure theory; Stock markets

Indexed keywords

COMMERCE; CORRELATION THEORY; NORMAL DISTRIBUTION; PROBABILITY DISTRIBUTIONS; SALES;

CHINESE STOCK MARKET; ELSEVIER (CO); EMPIRICAL RESULTS; EXPONENTIAL FORM; LOG-NORMAL DISTRIBUTIONS; LONG MEMORIES; ORDER BOOKS; POWER LAWS; PRICE LEVELS; SHAPE FUNCTIONS; STATISTICAL PROBABILITIES; STOCK EXCHANGES; ULTRA HIGH;

FUNCTION EVALUATION;

EID: 47649088761     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.05.008     Document Type: Article

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