Stylized facts of price gaps in limit order books
From MaRDI portal
Publication:508284
DOI10.1016/j.chaos.2015.10.031zbMath1415.91262arXiv1405.1247OpenAlexW2210724953MaRDI QIDQ508284
Yong-Jie Zhang, Gao-Feng Gu, Wei-Xing Zhou, Xiong Xiong, Wei Zhang, Wei Chen
Publication date: 10 February 2017
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1405.1247
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Related Items
INFORMATION DIMENSION OF GALTON BOARD, Limit-order book resiliency after effective market orders: spread, depth and intensity, Complexity in quantitative finance and economics
Uses Software
Cites Work
- Multifractal detrended fluctuation analysis of nonstationary time series
- Understanding the cubic and half-cubic laws of financial fluctuations
- On the wavelet transformation of fractal objects.
- Finite-size effect and the components of multifractality in financial volatility
- Limit order books
- High-frequency trading model for a complex trading hierarchy
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- The immediate price impact of trades on the Australian Stock Exchange
- Institutional Investors and Stock Market Volatility
- Fractal measures and their singularities: The characterization of strange sets
- Power-Law Distributions in Empirical Data
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- What really causes large price changes?
- On the origin of power-law tails in price fluctuations
- On the origin of power-law fluctuations in stock prices
- Large stock price changes: volume or liquidity?
