文献类型：期刊文献

英文题名：Empirical regularities of order placement in the Chinese stock market

作者：Gu, Gao-Feng[1,2];Chen, Wei[3];Zhou, Wei-Xing[1,2,4,5]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[3]Shenzhen Stock Exchange, Shenzhen 518010, Peoples R China;[4]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[5]E China Univ Sci & Technol, Res Ctr Syst Engn, Shanghai 200237, Peoples R China

年份：2008

卷号：387

期号：13

起止页码：3173

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20081311168381);WOS:【SSCI(收录号:WOS:000255474100012)，SCI-EXPANDED(收录号:WOS:000255474100012)】；

语种：英文

外文关键词：econophysics; order placement; probability distribution; Chinese stock market; order book and order flow

摘要：Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The distributions of relative logarithmic prices against reference prices in the three time periods are qualitatively the same with quantitative discrepancies. The order placement behavior is asymmetric between buyers and sellers and between the inside-the-book orders and outside-the-book orders. In addition, the conditional distributions of relative prices in the continuous auction are independent of the bid-ask spread and volatility. These findings are crucial to build an empirical behavioral microscopic model based on order flows for Chinese stocks. (c) 2008 Elsevier B.V. All rights reserved.