文献类型：期刊文献

英文题名：Empirical shape function of limit-order books 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：21

起止页码：5182

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

收录：;EI(收录号：20083011406393);WOS:【SSCI(收录号:WOS:000258770500019)，SCI-EXPANDED(收录号:WOS:000258770500019)】；

基金：We thank the referees for their insightful comments and suggestions. This work was partly supported by the National Natural Science Foundation of China (Grant Nos. 70501011 and 70502007), the Fok Ying Tong Education Foundation (Grant No. 101086), and the Program for New Century Excellent Talents in University (Grant No. NCET-07-0288).

语种：英文

外文关键词：econophysics; stock markets; continuous double action; limit-order book shape; microstructure theory

摘要：We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the averaged LOB shape has a maximum away from the same best price for both buy and sell sides of the LOB. The LOB shape function has nice exponential form in the right tail. The buy side of the LOB is found to be abnormally thicker for the price levels close to the same best although there are much more sell orders on the book. We also find that the LOB shape functions for both buy and sell sides have periodic peaks with a period of five. The 1-min averaged volumes at fixed tick level follow log-normal distributions except for the left tails which display power-law behaviors, exhibit abnormal intraday patterns with increasing trend, and possess long memory that cannot be explained by the intraday patterns. Academic implications of our empirical results are also briefly discussed. (C) 2008 Elsevier B.V. All rights reserved.