Correlation of coming limit price with order book in stock markets |
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Authors: | Jun-ichi Maskawa |
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Institution: | a Department of Management Information, Fukuyama Heisei University, Fukuyama, Hiroshima 720-0001, Japan b NiCT, 2-2-2 Hikaridai Seiki-cho Soraku-gun, Kyoto 619-0288, Japan (ATR) |
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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 is not 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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Keywords: | 07 05 Kf 89 65 Gh |
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