Skip to main content Accessibility help

We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.

Close cookie message
×
Hostname: page-component-cd9895bd7-mkpzs Total loading time: 0 Render date: 2024-12-23T06:25:38.242Z Has data issue: false hasContentIssue false

4 - Empirical Properties of Limit Order Books

from PART II - LIMIT ORDER BOOKS: INTRODUCTION

Published online by Cambridge University Press:  26 February 2018

Jean-Philippe Bouchaud ,
Julius Bonart ,
Jonathan Donier  and
Martin Gould
Jean-Philippe Bouchaud
Affiliation:
Capital Fund Management, Paris
Julius Bonart
Affiliation:
University College London
Jonathan Donier
Affiliation:
Capital Fund Management
Martin Gould
Affiliation:
CFM - Imperial Institute of Quantitative Finance
Get access

Summary

A summary is not available for this content so a preview has been provided. Please use the Get access link above for information on how to access this content.
Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Chapter
Information
Trades, Quotes and Prices
Financial Markets Under the Microscope
 , pp. 58 - 74
Publisher: Cambridge University Press
Print publication year: 2018

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Madhavan, A. (2000). Market microstructure: A survey. Journal of Financial Markets, 3(3), 205–258.CrossRefGoogle Scholar
Biais, B., Glosten, L., & Spatt, C. (2005). Market microstructure: A survey of microfoundations, empirical results, and policy implications. Journal of Financial Markets, 8(2), 217–264.CrossRefGoogle Scholar
Hasbrouck, J. (2007). Empirical market microstructure: The institutions, economics, and econometrics of securities trading. Oxford University Press.Google Scholar
Chakraborti, A., Toke, I. M., Patriarca, M., & Abergel, F. (2011). Econophysics review: II. Agent-based models. Quantitative Finance, 11(7), 1013–1041.CrossRefGoogle Scholar
Cont, R. (2011). Statistical modeling of high-frequency financial data. IEEE Signal Processing Magazine, 28(5), 16–25.CrossRefGoogle Scholar
Gould, M. D., Porter, M. A., Williams, S., McDonald, M., Fenn, D. J., & Howison, S. D. (2013). Limit order books. Quantitative Finance, 13(11), 1709–1742.CrossRefGoogle Scholar
Abergel, F., Chakraborti, A., Anane, M., Jedidi, A., & Toke, I. M. (2016). Limit order books. Cambridge University Press.CrossRefGoogle Scholar
Biais, B., Hillion, P., & Spatt, C. (1995). An empirical analysis of the limit order book and the order flow in the Paris Bourse. The Journal of Finance, 50(5), 1655–1689.CrossRefGoogle Scholar
Bollerslev, T., Domowitz, I., & Wang, J. (1997). Order flow and the bid–ask spread: An empirical probability model of screen-based trading. Journal of Economic Dynamics and Control, 21(8), 1471–1491.CrossRefGoogle Scholar
Gourieroux, C., Jasiak, J., & Le Fol, G. (1999). Intra-day market activity. Journal of Financial Markets, 2(3), 193–226.CrossRefGoogle Scholar
Kempf, A., & Korn, O. (1999). Market depth and order size. Journal of Financial Markets, 2(1), 29–48.CrossRefGoogle Scholar
Challet, D., & Stinchcombe, R. (2001). Analyzing and modeling 1+ 1d markets. Physica A: Statistical Mechanics and Its Applications, 300(1), 285–299.CrossRefGoogle Scholar
Bouchaud, J. P., Mézard, M., & Potters, M. (2002). Statistical properties of stock order books: Empirical results and models. Quantitative Finance, 2(4), 251–256.CrossRefGoogle Scholar
Zovko, I., & Farmer, J. D. (2002). The power of patience: A behavioural regularity in limit-order placement. Quantitative Finance, 2(5), 387–392.CrossRefGoogle Scholar
Farmer, J. D., Gillemot, L., Lillo, F., Mike, S., & Sen, A. (2004). What really causes large price changes. Quantitative Finance, 4(4), 383–397.Google Scholar
Hollifield, B., Miller, R. A., & Sandas, P. (2004). Empirical analysis of limit order markets. The Review of Economic Studies, 71(4), 1027–1063.CrossRefGoogle Scholar
Huang, W., Lehalle, C. A., & Rosenbaum, M. (2015). Simulating and analysing order book data: The queue-reactive model. Journal of the American Statistical Association, 110(509), 107–122.CrossRefGoogle Scholar

Save book to Kindle

To save this book to your Kindle, first ensure [email protected] is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.

Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

Find out more about the Kindle Personal Document Service.

Available formats
×

Save book to Dropbox

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Dropbox.

Available formats
×

Save book to Google Drive

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.

Available formats
×