文献类型：期刊文献

英文题名：The position profiles of order cancellations in an emerging stock market

作者：Gu, Gao-Feng[1,2];Xiong, Xiong[3];Ren, Fei[1,2,4];Zhou, Wei-Xing[1,2,4];Zhang, Wei[3]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China;[4]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China

年份：2013

外文期刊名：JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT

收录：;WOS:【SSCI(收录号:WOS:000323162000002)，SCI-EXPANDED(收录号:WOS:000323162000002)】；

基金：This work was partly supported by National Natural Science Foundation of China (Grants nos 71101052, 71131007 and 11075054), Shanghai 'Chen Guang' Project (Grant no. 2010CG32), Shanghai Rising Star (Follow-up) Program (Grant no. 11QH1400800), and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：critical phenomena of socio-economic systems; scaling in socioeconomic systems

摘要：Order submission and cancellation are two constituent actions of stock trading behaviors in order-driven markets. Order submission dynamics has been extensively studied for different markets, while order cancellation dynamics is less understood. There are two positions associated with a cancellation, that is, the price level in the limit-order book (LOB) and the position in the queue at each price level. We study the profiles of these two order cancellation positions through rebuilding the limit-order book using the order flow data of 23 liquid stocks traded on the Shenzhen Stock Exchange in the year 2003. We find that the profiles of relative price levels where cancellations occur obey a log-normal distribution. After normalizing the relative price level by removing the factor of order numbers stored at the price level, we find that the profiles exhibit a power-law scaling behavior on the right tails for both buy and sell orders. When focusing on the order cancellation positions in the queue at each price level, we find that the profiles increase rapidly in the front of the queue, and then fluctuate around a constant value till the end of the queue. These profiles are similar for different stocks. In addition, the profiles of cancellation positions can be fitted by an exponent function for both buy and sell orders. These two kinds of cancellation profiles seem universal for different stocks investigated and exhibit minor asymmetry between buy and sell orders. Our empirical findings shed new light on the order cancellation dynamics and pose constraints on the construction of order-driven stock market models.