{
  "id": "cond-mat/0102518",
  "version": "v1",
  "published": "2001-02-28T14:24:23.000Z",
  "updated": "2001-02-28T14:24:23.000Z",
  "title": "Price fluctuations from the order book perspective - empirical facts and a simple model",
  "authors": [
    "Sergei Maslov",
    "Mark Mills"
  ],
  "comment": "To appear in proceedings of the NATO Advanced Research Workshop on Application of Physics in Economic Modelling, Prague 2001. 8 figures",
  "journal": "Physica A 299, 234-246 (2001).",
  "doi": "10.1016/S0378-4371(01)00301-6",
  "categories": [
    "cond-mat.stat-mech",
    "cond-mat.dis-nn",
    "q-fin.TR"
  ],
  "abstract": "Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law tails with an exponent 1+mu_{market}=2.4 \\pm 0.1. The distribution of limit order sizes was found to be consistent with a power law with an exponent close to 2. A somewhat better fit to this distribution was obtained by using a log-normal distribution with an effective power law exponent equal to 2 in the middle of the observed range. The depth of the order book measured as a price impact of a hypothetical large market order was observed to be a non-linear function of its size. A large imbalance in the number of limit orders placed at bid and ask sides of the book was shown to lead to a short term deterministic price change, which is in accord with the law of supply and demand.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2001-02-28T14:24:23.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "order book perspective",
      "price fluctuations",
      "simple model",
      "empirical facts",
      "short term deterministic price change"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}