عملکرد شکل تجربی از کتاب سفارش محدود در بازار سهام چینی

We 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 sides of the LOB. The LOB shape function has nice exponential form in the right tail. The buy side of the 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 log-normal distributions except for the left tails which display power-law behaviors, exhibit abnormal intraday patterns with increasing trend, and possess long memory that cannot be explained by the intraday patterns. Academic implications of our empirical results are also briefly discussed.

In an order-driven market, limit-order book (LOB) is a queue of orders waiting to be executed and it is the base of continuous double auction mechanism. Orders in the book are sorted according to price-time priority. The construction of LOB is a dynamic process. Effective limit orders whose prices do not penetrate the opposite best price are stored in the book, while an effective market order with the price penetrating the opposite best immediately causes a transaction and removes the corresponding orders in the opposite book. In addition, cancelations can also remove the orders in the LOB.