文献类型：期刊文献

英文题名：Power-law tails in the distribution of order imbalance

作者：Zhang, Ting[1,2];Gu, Gao-Feng[2,3];Xu, Hai-Chuan[2,3];Xiong, Xiong[4];Chen, Wei[5];Zhou, Wei-Xing[1,2,3]

机构：[1]East China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]East China Univ Sci & Technol, Dept Finance, Shanghai 200237, Peoples R China;[4]Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China;[5]Shenzhen Stock Exchange, 5045 Shennan East Rd, Shenzhen 518010, Peoples R China

年份：2017

卷号：483

起止页码：201

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

收录：;EI(收录号：20200303789);WOS:【SSCI(收录号:WOS:000405062000020)，SCI-EXPANDED(收录号:WOS:000405062000020)】；

基金：We acknowledge financial supports from the National Natural Science Foundation of China (71532009, 71501072, 71571121 and 71671066), and the Fundamental Research Funds for the Central Universities (222201718006)

语种：英文

外文关键词：Econophysics; Order imbalance; Probability distribution; Power-law tail; Order book

摘要：We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of order imbalance are considered based on the order number and the order size. We find that the order imbalance distributions of individual stocks have power-law tails. However, the tail index fluctuates remarkably from stock to stock. We also investigate the distributions of aggregated order imbalance of all stocks at different timescales Delta t. We find no clear trend in the tail index with respect Delta t. All the analyses suggest that the distributions of order imbalance are asymmetric. (C) 2017 Elsevier B.V. All rights reserved.