Correlation of coming limit price with order book in stock markets

Jun-ichi Maskawa

doi:10.1016/j.physa.2007.04.091

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Correlation of coming limit price with order book in stock markets

Jun-ichi Maskawa

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Abstract

We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock Exchange. As a result, the limit price is broadly distributed around the best price according to a power-law, and it isn't randomly drawn from the distribution, but has a strong correlation with the size of cumulative unexecuted limit orders on the price. It was also found that the limit price, on the coarse-grained price scale, tends to gather around the price which has a large size of cumulative unexecuted limit orders.

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Jun-ichi Maskawa. 2007-02-04. Correlation of coming limit price with order book in stock markets. https://doi.org/10.1016/j.physa.2007.04.091

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