文献类型：期刊文献

英文题名：Limit-order book resiliency after effective market orders: spread, depth and intensity

作者：Xu, Hai-Chuan[1,2];Chen, Wei[3];Xiong, Xiong[4];Zhang, Wei[4];Zhou, Wei-Xing[1,2,5];Stanley, H. Eugene[6,7]

机构：[1]East China Univ Sci & Technol, Dept Finance, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]Shenzhen Stock Exchange, 5045 Shennan East Rd, Shenzhen 518010, Peoples R China;[4]Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China;[5]East China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China;[6]Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA;[7]Boston Univ, Dept Phys, 590 Commonwealth Ave, Boston, MA 02215 USA

年份：2017

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

收录：;WOS:【SSCI(收录号:WOS:000405890800001)，SCI-EXPANDED(收录号:WOS:000405890800001)】；

基金：This work was partially supported by the National Natural Science Foundation of China (71501072, 71532009, 71571121), the China Postdoctoral Science Foundation (2015M570342), and the Fundamental Research Funds for the Central Universities (222201524004, 222201718006).

语种：英文

外文关键词：market microstructure; market impact; quantitative finance; scaling in socio-economic systems

摘要：In order-driven markets, limit-order book (LOB) resiliency is an important microscopic indicator of market quality when the order book is hit by a liquidity shock and plays an essential role in the design of optimal submission strategies of large orders. However, the evolutionary behavior of LOB resilience around liquidity shocks is not well understood empirically. Using order flow data sets of Chinese stocks, we quantify and compare the LOB dynamics characterized by the bid-ask spread, the LOB depth and the order intensity surrounding effective market orders with different aggressiveness. We find that traders are more likely to submit effective market orders when the spreads are relatively low, the same-side depth is high, and the opposite-side depth is low. Such phenomenon is especially significant when the initial spread is 1 tick. Although the resiliency patterns show obvious diversity after different types of market orders, the spread and depth can return to the sample average within 20 best limit updates. The price resiliency behavior is dominant following aggressive market buy orders, while the price continuation behavior is dominant following less-aggressive market sell orders. Moreover, the resiliency stimulus of buy-sell shock is asymmetrical. The intensities of limit sell orders after market buy orders' shock are always higher than the intensities of limit buy orders after market sell orders' shock. The resiliency behavior of spread and depth is linked to limit order intensity.